Dynamic style analysis of Spanish balanced pension plans: A Bayesian approach

This paper is focused on the dynamic allocations of Spanish balanced pension plans that invest predominantly in Euro‐zone equities. Applying a Bayesian method to a return‐based style analysis that includes the constraints of the strong version and time‐varying exposures, we provide evidence for no s...

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Veröffentlicht in:	Applied stochastic models in business and industry 2011-07, Vol.27 (4), p.450-464
Hauptverfasser:	Andreu, L., Gargallo, P., Salvador, M., Sarto, J. L.
Format:	Artikel
Sprache:	eng
Schlagworte:	Allocations Balancing Bayesian analysis Bayesian inference Business Dynamic models Dynamic tests Dynamics pension plans return-based style analysis Volatility
Online-Zugang:	Volltext
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