Forums  > University  > multicollinearity and style analysis  
     
Page 1 of 1
Display using:  

Fin4nceCr3w


Total Posts: 5
Joined: May 2012
 
Posted: 2014-11-01 18:16
basically i have this objective: i want to quantitavely narrow down the number of combination of possible explanatory variables that i have to use to discover the target fund composition. i will then use economic theory to come up with a sensible result

problem: since weights are set to be positive we don't use regressions but numerical optimization (the Tracking Error volatility is the target to be minimized). but i want to check for collinearity first to exclude a good amount of combinations. fact is this is not a proper regression and i am also aware that correlation is different from causality so i might accidentally eliminate the wrong input. still, i need to cut to size my workload.

i tried to read some papers and i found out some stuff on bayesian methods but they are far too advanced for the homework i am required to perform.

any ideas on how to proceed?

Tradenator


Total Posts: 1579
Joined: Sep 2006
 
Posted: 2014-11-03 01:51
For starters maybe review the phorum guidelines and learn to write like a grownup.
Previous Thread :: Next Thread 
Page 1 of 1