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CUSUM control charts for monitoring optimal portfolio weights - MaRDI portal

CUSUM control charts for monitoring optimal portfolio weights (Q2275651)

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CUSUM control charts for monitoring optimal portfolio weights
scientific article

    Statements

    title
    CUSUM control charts for monitoring optimal portfolio weights (English)
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    author
    Vasyl Golosnoy
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    Sergiy Ragulin
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    Wolfgang Schmid
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    publication date
    9 August 2011
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    zbMATH Keywords
    minimum variance portfolio
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    changes in the covariance matrix
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    statistical process control
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    cites work
    Q5732574
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    Q3512774
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    Q4664883
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    Q2746497
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    Identifiers

    Mathematics Subject Classification ID
    62P30
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    91G10
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    62P05
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    65C05
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    91G70
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    zbMATH DE Number
    5937303
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    OpenAlex ID
    W2038238710
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