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Monitoring Active Portfolios Using Statistical Process Control
16 references·2 citing·36 second hop
Monitoring Active Portfolios Using Statistical Process Control (1997)Monitoring Active Portfolios Using Statis…Fast Initial Response for CUSUM Quality-Control Schemes: Give Your CUSUM A Head Start (2000)Fast Initial Response for CUS…The Sharpe Ratio (1994)The Sharpe RatioThe Performance of Bond Mutual Funds (1993)The Performance of Bond Mutua…Performance of CUSUM Control Schemes for Serially Correlated Observations (1993)Performance of CUSUM Control …Portfolio Performance Evaluation: Old Issues and New Insights (1989)Portfolio Performance Evaluat…Optimal Stopping Times for Detecting Changes in Distributions (1986)Optimal Stopping Times for De…Comparison Methods for Queues and Other Stochastic Models. (1986)Comparison Methods for Queues…An algorithm for detecting a change in a stochastic process (1986)An algorithm for detecting a …Comparison Methods for Queues and Other Stochastic Models (1984)Comparison Methods for Queues…Fast Initial Response for CUSUM Quality-Control Schemes: Give Your CUSUM A Head Start (1982)Fast Initial Response for CUS…The Effect of Serial Correlation on the Performance of CUSUM Tests II (1975)The Effect of Serial Correlat…The Effect of Serial Correlation on the Performance of CUSUM Tests (1974)The Effect of Serial Correlat…Procedures for Reacting to a Change in Distribution (1971)Procedures for Reacting to a …Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios (1969)Risk, The Pricing of Capital …The Average Run Length of the Cumulative Sum Chart When a V-Mask is Used (1961)The Average Run Length of the…CONTINUOUS INSPECTION SCHEMES (1954)CONTINUOUS INSPECTION SCHEMESStatistical Process Control in Asset Management (2008)Statistical Process Control i…Using Statistical Process Control to Monitor Active Managers (2003)Using Statistical Process Con…Economic Control of Quality of Manufactured Product. (1932)Detecting changes in signals and systems—A survey (1988)Selective review of offline change point detection methods (2019)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Risk, Return, and Equilibrium: Empirical Tests (1973)Modern Portfolio Theory and Investment Analysis. (1982)Fundamental Economic Variables, Expected Returns, and Bond Fund Performance (1995)A First Look at the Accuracy of the CRSP Mutual Fund Database and a Comparison of the CRSP and Morningstar Mutual Fund Databases (2001)Do Female Mutual Fund Managers Manage Differently? (2003)Mutual Fund Performance (1966)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons (1987)Gain, Loss, and Asset Pricing (2000)Which Factors Matter to Investors? Evidence from Mutual Fund Flows (2016)An Approach to the Probability Distribution of Cusum Run Length (1972)Combined Shewhart-CUSUM Quality Control Schemes (1982)CUSUM Charts With Variable Sampling Intervals (1990)Exponentially weighted moving average control schemes with variable sampling intervals (1992)Statistical Process Monitoring and Feedback Adjustment: A Discussion (1992)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Performance Hypothesis Testing with the Sharpe and Treynor Measures (1981)Time-varying conditional covariances in tests of asset pricing models (1989)Measuring abnormal performance (1992)Sequential Changepoint Detection in Quality Control and Dynamical Systems (1995)The Use of Control Charts in Health-Care and Public-Health Surveillance (2006)Dynamic server allocation to parallel queues with randomly varying connectivity (1993)Stability, queue length, and delay of deterministic and stochastic queueing networks (1994)Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin (1995)changepoint : An R Package for Changepoint Analysis (2014)The Statistics of Sharpe Ratios (2002)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)Deep Direct Reinforcement Learning for Financial Signal Representation and Trading (2016)Blocking When Service Is Required From Several Facilities Simultaneously (1985)Marked point processes as limits of Markovian arrival streams (1993)
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References

  • 1954CONTINUOUS INSPECTION SCHEMES5,731 cited
  • 1994The Sharpe Ratio2,542 cited
  • 1971Procedures for Reacting to a Change in Distribution1,355 cited
  • 1986Optimal Stopping Times for Detecting Changes in Distributions1,022 cited
  • 1969Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios941 cited
  • 1986Comparison Methods for Queues and Other Stochastic Models.938 cited
  • 1984Comparison Methods for Queues and Other Stochastic Models720 cited
  • 1989Portfolio Performance Evaluation: Old Issues and New Insights583 cited
  • 1993The Performance of Bond Mutual Funds464 cited
  • 2000Fast Initial Response for CUSUM Quality-Control Schemes: Give Your CUSUM A Head Start320 cited
  • 1982Fast Initial Response for CUSUM Quality-Control Schemes: Give Your CUSUM A Head Start310 cited
  • 1974The Effect of Serial Correlation on the Performance of CUSUM Tests275 cited
  • 1993Performance of CUSUM Control Schemes for Serially Correlated Observations166 cited
  • 1975The Effect of Serial Correlation on the Performance of CUSUM Tests II125 cited
  • 1986An algorithm for detecting a change in a stochastic process101 cited

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  • 1961The Average Run Length of the Cumulative Sum Chart When a V-Mask is Used92 cited
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    • 2003Using Statistical Process Control to Monitor Active Managers23 cited
    • 2008Statistical Process Control in Asset Management9 cited