Robust Regression And Sensitivity Analysis in Estimating Mutual Funds Performanc

Oded Berman

The book Robust Regression And Sensitivity Analysis in Estimating Mutual Funds Performanc was written by author Oded Berman Here you can read free online of Robust Regression And Sensitivity Analysis in Estimating Mutual Funds Performanc book, rate and share your impressions in comments. If you don't know what to write, just answer the question: Why is Robust Regression And Sensitivity Analysis in Estimating Mutual Funds Performanc a good or bad book?

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= . 01U5O5 3A7 =, 353379 R = . 025 WSSii = . 01£*505 '.. 'SA? = . 35^370 COEFS RETA CHEF P7in;?
A -0. 01213 -0. 0 03931 0.
3 0. 930242 0. 51G825 3.
C = 9 SSR = . 01ii505 ZM. = . 359S79 ;^ = . 1 '. ;SSr{ = . 014505 '/sap. = . 359a71 C = U SSR = . 014505 SA-? = . 359379 :i ' . 2 ;;sr, .^ = . 014505 \!sm. = . 359379 C = 2. 33333 SSR = . 014602 SAR = . 35C3G8 R » . 3 USSR = . 012024 Wf. A ^ = . 341831 C = 1. 5 SSR = . 014714 . 9AR = . 35349G R = . 4 ;;SSR = . 00038 l/SAR = . 31751 Table 6 (Cont'd. ...) -33- HUBCR Tnf¥X. OF COEFFICIENTS 1 TO 1 . > 3. ?
o oae 049 e. Ee 98e lee Table 7 - Ruber Trace for Fund 218 -34- 6. Least Absolute Residuals Regression Results^ The results of the LAR regression are shovm on Table 8. Results are also summarized in Table 9, where they are compared to the least square regression results. The most important results are the change of sign of the a for the two funds 206 and 218. For the fund 206 - "Istel Fund Inc", ci changed from . 01545(the LS) to -. 00198 (LAR).

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