CUSUM control charts for monitoring optimal portfolio weights

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

zbMATH Keywords

statistical process controlminimum variance portfoliochanges in the covariance matrix

Mathematics Subject Classification ID

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)

Related Items (2)

On the application of new tests for structural changes on global minimum-variance portfolios ⋮ Sequential monitoring of portfolio betas

Uses Software

• FinTS

Cites Work

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• Surveillance of the mean behavior of multivariate time series
• A diffusion process and its applications to detecting a change in the drift of Brownian motion
• Multivariate CUSUM Quality-Control Procedures
• A Multivariate Exponentially Weighted Moving Average Control Chart
• On the Stable Paretian Behavior of Stock-Market Prices
• Testing and Locating Variance Changepoints with Application to Stock Prices
• Statistical Surveillance. Optimality and Methods
• Evaluation of multivariate surveillance
• Localized Realized Volatility Modeling
• New characteristics for portfolio surveillance
• Analysis of Financial Time Series
• CONTINUOUS INSPECTION SCHEMES

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