Sequential monitoring of minimum variance portfolio (Q2461273)
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scientific article; zbMATH DE number 5214737
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Sequential monitoring of minimum variance portfolio |
scientific article; zbMATH DE number 5214737 |
Statements
Sequential monitoring of minimum variance portfolio (English)
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27 November 2007
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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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0.91030777
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0.8610937
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0.84918743
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0.84642315
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0.8371444
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0.8301064
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0.8235012
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0.82349765
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