SEQUENTIAL SURVEILLANCE OF THE TANGENCY PORTFOLIO WEIGHTS

DOI10.1142/S0219024909005464zbMath1180.91253MaRDI QIDQ3648636

Olha Bodnar

Publication date: 27 November 2009

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

control chartsstatistical process controlasset allocationtangency portfolio

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (9)

Sequential monitoring of high‐dimensional time series ⋮ Control charts for high-dimensional time series with estimated in-control parameters ⋮ A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function ⋮ Bayesian estimation of the global minimum variance portfolio ⋮ Statistical inference for the tangency portfolio in high dimension ⋮ On the product of a singular Wishart matrix and a singular Gaussian vector in high dimension ⋮ Recent advances in shrinkage-based high-dimensional inference ⋮ Higher order moments of the estimated tangency portfolio weights ⋮ On the mean and variance of the estimated tangency portfolio weights for small samples

Cites Work

• Unnamed Item
• Distributional properties of portfolio weights
• Properties of the singular, inverse and generalized inverse partitioned Wishart distributions
• Approximations to the expected sample size of certain sequential tests
• The Distribution of the Sample Minimum-Variance Frontier
• Optimal Surveillance Based on Exponentially Weighted Moving Averages
• EWMA Control Charts for Monitoring Optimal Portfolio Weights
• Surveillance of the mean behavior of multivariate time series

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