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Open Source Finance

Return Based Style Analysis

Return Based Style Analysis is an optimization technique described by Richard Sharpe in a 1992 Financial Analysts Journal article. Essentially it computes the optimal portfolo of assets which will replicate a target return stream while holding the target portfolio alpha constant. We can constrast this with a least squares fit approach to the same problem, where the sum of squared residuals is minimized, leading to a alpha of 0.

This document describes the implementation of RBSA included in the akutan project.



What is akutan?

What is Financial Informatics?

General Optimization

Portfolio Optimization

Random Matrix Theory

Return Based Style Analysis

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