Sequential Monitoring of Optimal Portfolio Weights

Financial Surveillance

Volumn , Issue , 2008, Pages 179-210

  Golosnoy, Vasyl ^a   Schmid, Wolfgang ^b   Okhrin, Iryna ^b  

^a UNIVERSITY OF KIEL   (Germany)

^b EUROPEAN UNIVERSITY VIADRINA   (Germany)

Author keywords

Average run length (ARL); Exact autocovariance and asymptotic autocovariance; Exponentially weighted moving average chart (EWMA); Global minimum variance portfolio (GMVP); Independent and identically normally distributed; Market efficiency hypothesis and free arbitrage considerations; Markowitz mean standard deviation; Rational mean variance investor; Sequential monitoring methodology; Statistical process control (SPC)

Indexed keywords

GLOBAL OPTIMIZATION; NORMAL DISTRIBUTION; STATISTICAL METHODS; STATISTICAL PROCESS CONTROL;

AUTOCOVARIANCES; AVERAGE RUN LENGTHS; EXPONENTIALLY WEIGHTED MOVING AVERAGE CHART; GLOBAL MINIMA; INDEPENDENT AND IDENTICALLY NORMALLY DISTRIBUTED; MARKET EFFICIENCY; MEAN STANDARD DEVIATION; MEAN VARIANCE; MONITORING METHODOLOGIES; STATISTICAL PROCESS CONTROLS (SPC);

FINANCIAL MARKETS;

EID: 79959760944     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1002/9780470987179.ch7     Document Type: Chapter

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