New characteristics for portfolio surveillance

DOI10.1080/02331880903023845zbMath1282.62174OpenAlexW2053600656MaRDI QIDQ5400850

Iryna Okhrin, Wolfgang Schmid, Vasyl Golosnoy

Publication date: 12 March 2014

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331880903023845

zbMATH Keywords

multivariate normal distributionstatistical process controloptimal portfolio weightsEWMA control chartsvolatility timing

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Sequential statistical analysis (62L10) Portfolio theory (91G10)

Related Items

Monitoring mean changes in persistent multivariate time series, CUSUM control charts for monitoring optimal portfolio weights

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