EWMA Control Charts for Monitoring Optimal Portfolio Weights
From MaRDI portal
Publication:3445887
DOI10.1080/07474940701247099zbMath1111.62101MaRDI QIDQ3445887
Wolfgang Schmid, Vasyl Golosnoy
Publication date: 7 June 2007
Published in: Sequential Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474940701247099
multivariate normal distribution; statistical process control; global minimum variance portfolio; changes in the covariance matrix
62P05: Applications of statistics to actuarial sciences and financial mathematics
62P30: Applications of statistics in engineering and industry; control charts
62L99: Sequential statistical methods
91G10: Portfolio theory
Related Items
New characteristics for portfolio surveillance, Distributional properties of portfolio weights, A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function, CUSUM control charts for monitoring optimal portfolio weights, Sequential monitoring of minimum variance portfolio, SEQUENTIAL SURVEILLANCE OF THE TANGENCY PORTFOLIO WEIGHTS
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