Estimating Style Weights of Mutual Funds by Monte Carlo Filter with Generalized Simulated Annealing

44 Pages Posted: 8 Jun 2016

See all articles by Takaya Fukui

Takaya Fukui

Mizuho Securities Co. Ltd; University of Tokyo - Graduate School of Economics

Seisho Sato

Graduate School of Economics, The University of Tokyo

Akihiko Takahashi

University of Tokyo - Faculty of Economics

Date Written: June 5, 2016

Abstract

This paper proposes a new approach to style analysis by applying a general state space model and Monte Carlo filter. Particularly, we regard coefficients of style indices as state variables in the state space model and employ Monte Carlo filter as an estimation method.

Moreover, we utilize a generalized simulated annealing for estimating parameters, which seems the first attempt in particle filtering methods for a statistical application. Finally, an empirical analysis with actual funds’ data confirms the validity of our approach.

Keywords: Style Weights, Mutual Fund, General State Space Model, Monte Carlo filer, Generalized Simulated Annealing

Suggested Citation

Fukui, Takaya and Fukui, Takaya and Sato, Seisho and Takahashi, Akihiko, Estimating Style Weights of Mutual Funds by Monte Carlo Filter with Generalized Simulated Annealing (June 5, 2016). Available at SSRN: https://ssrn.com/abstract=2790851 or http://dx.doi.org/10.2139/ssrn.2790851

Takaya Fukui (Contact Author)

Mizuho Securities Co. Ltd ( email )

Tokyo
100-0004
Japan

University of Tokyo - Graduate School of Economics ( email )

7-3-1 Hongo
Bunkyo-ku
Tokyo, 113-0033
Japan

Seisho Sato

Graduate School of Economics, The University of Tokyo ( email )

Hongo 7-3-1
Bunkyo-ku
Tokyo 113-0033
Japan

Akihiko Takahashi

University of Tokyo - Faculty of Economics ( email )

7-3-1 Hongo, Bunkyo-ku
Tokyo 113-0033
Japan

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