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ArticleCUSUM control charts for monitoring optimal portfolio weights

Vasyl Golosnoy2011

Article2011

CUSUM control charts for monitoring optimal portfolio weights

Vasyl Golosnoy · Sergiy Ragulin · Wolfgang Schmid

21 citations·0/0 files stored·Computational Statistics & Data Analysis

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Advanced Statistical Process Monitoring Financial Risk and Volatility Modeling Risk and Portfolio Optimization

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References

1954CONTINUOUS INSPECTION SCHEMES 1952Portfolio Selection 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?1980On estimating the expected return on the market 1992A Multivariate Exponentially Weighted Moving Average Control Chart 1986Optimal Stopping Times for Detecting Changes in Distributions 1991On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results 2006Effects of Parameter Estimation on Control Chart Properties: A Literature Review

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2023A novel application of statistical process control charts in financial market surveillance with the idea of profile monitoring 2013Monitoring the mean of multivariate financial time series

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2007EWMA Control Charts for Monitoring Optimal Portfolio Weightsarticle · 11 shared references 2021Control charts in financial applications: An overviewarticle · 9 shared references 2009Multivariate CUSUM chart: properties and enhancementsarticle · 9 shared references 2013Monitoring the mean of multivariate financial time seriesarticle · 9 shared references 2007Properties and Use of the Shewhart Method and Its Followersarticle · 8 shared references 2006CUSUM Control Schemes for Multivariate Time Serieschapter · 8 shared references

Details

Year2011

Typearticle

Published2011-05-20

VenueComputational Statistics & Data Analysis

ISSN-L0167-9473

Languageen

Citations21

Files0 public / 0

ShelfAdvanced Statistical Process Monitoring

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doi10.1016/j.csda.2011.05.004

openalex_workW265866641

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