Robust monitoring of CAPM portfolio betas (Q1941452)

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Robust monitoring of CAPM portfolio betas
scientific article

    Statements

    title
    Robust monitoring of CAPM portfolio betas (English)
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    author
    Ondřej Chochola
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    Zuzana Prášková
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    Marie Hušková
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    Josef G. Steinebach
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    publication date
    12 March 2013
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    zbMATH Keywords
    robust monitoring
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    capital asset pricing model
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    portfolio beta
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    M-estimate
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    change-point detection
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    Identifiers

    Mathematics Subject Classification ID
    62P05
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    62F35
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    60F17
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    60G10
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    60J65
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    62L10
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    91B25
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    91G70
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    91G10
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    zbMATH DE Number
    6143847
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