Sequential monitoring of minimum variance portfolio (Q2461273)

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Sequential monitoring of minimum variance portfolio
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    title
    Sequential monitoring of minimum variance portfolio (English)
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    author
    Vasyl Golosnoy
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    publication date
    27 November 2007
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    Mathematics Subject Classification ID
    62P05
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    91B28
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    62L10
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    62P30
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    zbMATH DE Number
    5214737
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    zbMATH Keywords
    statistical process control
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    volatility timing
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    covariance matrix estimation
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    GARCH approach
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    OpenAlex ID
    W2106686859
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    cites work
    Q4407595
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    Q4001778
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    Q2709279
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    Q4664883
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    Q2715562
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