Portfolio style: Return-based attribution using quantile regression

• 22 March 2001
• journal article
• research article
• Published by Springer Nature in Empirical Economics
• Vol. 26  (1) , 293-305
• https://doi.org/10.1007/s001810100074

Abstract

Keywords

• KEY WORDS: QUANTILE REGRESSION
• INVESTMENT STYLE
• PORTFOLIO ATTRIBUTION