Dynamic Style Analysis of Hedge Funds and Kalman Smoother - Dr. Leonid Shvartser

Yandex School of Data Analysis Conference Machine Learning: Prospects and Applications Dynamic Style Analysis (DSA) is a method of restoration of strategy of a hedge fund on a given time interval: to estimate the fractions of the port- folio invested in different assets at every time stamp during the investigat- ed period. The Flexible Least Squares (FLS) method solves this problem. In this work we show the correspondence between the two state estima- tors, FLS and