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EWMA Control Charts for Monitoring Optimal Portfolio Weights - MaRDI portal

EWMA Control Charts for Monitoring Optimal Portfolio Weights (Q3445887)

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EWMA Control Charts for Monitoring Optimal Portfolio Weights
scientific article

    Statements

    title
    EWMA Control Charts for Monitoring Optimal Portfolio Weights (English)
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    author
    Vasyl Golosnoy
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    Wolfgang Schmid
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    publication date
    7 June 2007
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    zbMATH Keywords
    changes in the covariance matrix
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    global minimum variance portfolio
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    multivariate normal distribution
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    statistical process control
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    cites work
    Q4001778
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    Q4360236
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    Q4664883
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    Identifiers

    Mathematics Subject Classification ID
    62P05
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    91G10
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    62P30
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    62L99
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    zbMATH DE Number
    5162260
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    OpenAlex ID
    W2106772436
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