Robust monitoring of CAPM portfolio betas
type: Item
instance of: scholarly article
title: Robust monitoring of CAPM portfolio betas
zbMATH Open document ID: 1271.62057
author: Ondřej Chochola
author: Zuzana Prášková
author: Marie Hušková
author: J. G. Steinebach
published in: Journal of Multivariate Analysis
publication date: 2013-03-12T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62F35
Mathematics Subject Classification ID: 60F17
Mathematics Subject Classification ID: 60G10
Mathematics Subject Classification ID: 60J65
Mathematics Subject Classification ID: 62L10
Mathematics Subject Classification ID: 91B25
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 6143847
zbMATH Keywords: robust monitoring
zbMATH Keywords: capital asset pricing model
zbMATH Keywords: portfolio beta
zbMATH Keywords: M-estimate
zbMATH Keywords: change-point detection
MaRDI profile type: Publication
full work available at URL: j.jmva.2012.10.019
OpenAlex ID: W2082211426
DOI: 10.1016/J.JMVA.2012.10.019
description: scientific article; zbMATH DE number 6143847