New characteristics for portfolio surveillance (Q5400850)

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scientific article; zbMATH DE number 6268791
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English
New characteristics for portfolio surveillance
scientific article; zbMATH DE number 6268791

    Statements

    title
    New characteristics for portfolio surveillance (English)
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    author
    Vasyl Golosnoy
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    Iryna Okhrin
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    Wolfgang Schmid
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    published in
    Statistics
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    publication date
    12 March 2014
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    Mathematics Subject Classification ID
    62L10
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    62P05
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    91G10
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    zbMATH DE Number
    6268791
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    zbMATH Keywords
    statistical process control
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    EWMA control charts
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    multivariate normal distribution
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    optimal portfolio weights
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    volatility timing
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    OpenAlex ID
    W2053600656
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