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Monitoring Active Portfolios Using Statistical Process Control · Study

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ChapterMonitoring Active Portfolios Using Statistical Process Control

Emmanuel Yashchin1997

Chapter1997

Monitoring Active Portfolios Using Statistical Process Control

Emmanuel Yashchin · Thomas K. Philips

13 citations·0/0 files stored·Advances in computational economics

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Advanced Statistical Process Monitoring Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

1954CONTINUOUS INSPECTION SCHEMES 1994The Sharpe Ratio 1971Procedures for Reacting to a Change in Distribution 1986Optimal Stopping Times for Detecting Changes in Distributions 1969Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios 1986Comparison Methods for Queues and Other Stochastic Models.1984Comparison Methods for Queues and Other Stochastic Models 1989Portfolio Performance Evaluation: Old Issues and New Insights

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2003Using Statistical Process Control to Monitor Active Managers 2008Statistical Process Control in Asset Management

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Details

Year1997

Typechapter

Published1997-01-01

VenueAdvances in computational economics

ISSN-L0929-130X

Languageen

Citations13

Files0 public / 0

ShelfAdvanced Statistical Process Monitoring

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doi10.1007/978-1-4757-2644-2_13

openalex_workW13648254

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