CUSUM control charts for monitoring optimal portfolio weights
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Publication:2275651
DOI10.1016/j.csda.2011.05.004zbMath1218.62137OpenAlexW2038238710MaRDI QIDQ2275651
Sergiy Ragulin, Vasyl Golosnoy, Wolfgang Schmid
Publication date: 9 August 2011
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2011.05.004
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Applications of statistics in engineering and industry; control charts (62P30) Monte Carlo methods (65C05) Portfolio theory (91G10)
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On the application of new tests for structural changes on global minimum-variance portfolios ⋮ Sequential monitoring of portfolio betas
Uses Software
Cites Work
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