EWMA Control Charts for Monitoring Optimal Portfolio Weights
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Publication:3445887
DOI10.1080/07474940701247099zbMath1111.62101OpenAlexW2106772436MaRDI QIDQ3445887
Wolfgang Schmid, Vasyl Golosnoy
Publication date: 7 June 2007
Published in: Sequential Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474940701247099
multivariate normal distributionstatistical process controlglobal minimum variance portfoliochanges in the covariance matrix
Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics in engineering and industry; control charts (62P30) Sequential statistical methods (62L99) Portfolio theory (91G10)
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Distributional properties of portfolio weights, Sequential monitoring of high‐dimensional time series, Control charts for high-dimensional time series with estimated in-control parameters, Sequential monitoring of minimum variance portfolio, A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function, New characteristics for portfolio surveillance, Unnamed Item, CUSUM control charts for monitoring optimal portfolio weights, SEQUENTIAL SURVEILLANCE OF THE TANGENCY PORTFOLIO WEIGHTS
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