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[Feature Request]: Constrained Multiple Regression #2050

Open JRB988 opened 1 year ago

JRB988 commented 1 year ago

Description

Constrained Multiple Regression

Purpose

Returns Based Style Analysis

Use-case

The analysis is used to determine a Fund's market exposures, so that it may more effeciently invest.

Is your feature request related to a problem?

N/A

Is your feature request related to a JASP module?

Regression

Describe the solution you would like

I need to perform constrained multiple linear regression, the dependent variable is a series of returns for the Fund, and the independent variables are returns of various asset class exposures. The coefficients produced must be non-negative, and sum to 1. These coefficients will represent weights to market exposures that the Fund will invest in.

Describe alternatives that you have considered

No response

Additional context

Here is a link to better understand the application. See the sections titled “Determining Fund Exposures” and “Style Analysis”.

https://web.stanford.edu/~wfsharpe/art/sa/sa.htm

Thank you,

John

tomtomme commented 9 months ago

@JRB988 Thanks for the request. Could you edit the title of your request to "Constrained Multiple Regression"