Robust monitoring of CAPM portfolio betas

DOI10.1016/j.jmva.2012.10.019zbMath1271.62057OpenAlexW2082211426MaRDI QIDQ1941452

Ondřej Chochola, Zuzana Prášková, Josef G. Steinebach, Marie Hušková

Publication date: 12 March 2013

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2012.10.019

zbMATH Keywords

capital asset pricing modelM-estimatechange-point detectionportfolio betarobust monitoring

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Robustness and adaptive procedures (parametric inference) (62F35) Stationary stochastic processes (60G10) Brownian motion (60J65) Sequential statistical analysis (62L10) Functional limit theorems; invariance principles (60F17) Portfolio theory (91G10)

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