New characteristics for portfolio surveillance

DOI10.1080/02331880903023845zbMath1282.62174MaRDI QIDQ5400850

Iryna Okhrin, Wolfgang Schmid, Vasyl Golosnoy

Publication date: 12 March 2014

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331880903023845

zbMATH Keywords

multivariate normal distribution; statistical process control; optimal portfolio weights; EWMA control charts; volatility timing

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62L10: Sequential statistical analysis

91G10: Portfolio theory

Related Items

Monitoring mean changes in persistent multivariate time series, CUSUM control charts for monitoring optimal portfolio weights

Cites Work

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