EWMA control charts for monitoring optimal portfolio weights

Sequential Analysis

Volumn 26, Issue 2, 2007, Pages 195-224

  Golosnoy, Vasyl ^a   Schmid, Wolfgang ^b  

^a UNIVERSITY OF KIEL   (Germany)

^b EUROPEAN UNIVERSITY VIADRINA   (Germany)

Author keywords

Changes in the covariance matrix; Global minimum variance portfolio; Multivariate normal distribution; Statistical process control

Indexed keywords

EWMA CONTROL CHARTS; EXPONENTIAL SMOOTHING; FAST DETECTIONS; GLOBAL MINIMA; MULTI-VARIATE NORMAL DISTRIBUTIONS; OPTIMAL PORTFOLIOS; RUN-LENGTH PERFORMANCE; STRUCTURAL BREAK;

COVARIANCE MATRIX; FLOWCHARTING; NORMAL DISTRIBUTION; STATISTICAL PROCESS CONTROL;

OPTIMIZATION;

EID: 34248166048     PISSN: 07474946     EISSN: 15324176     Source Type: Journal    
DOI: 10.1080/07474940701247099     Document Type: Article

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