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CUSUM control charts for monitoring optimal portfolio weights
16 references·5 citing·44 second hop
CUSUM control charts for monitoring optimal portfolio weights (2011)CUSUM control charts for monitoring optim…Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…Effects of Parameter Estimation on Control Chart Properties: A Literature Review (2006)Effects of Parameter Estimati…Distributional properties of portfolio weights (2005)Distributional properties of …Controversies and Contradictions in Statistical Process Control (2000)Controversies and Contradicti…Testing and Locating Variance Changepoints with Application to Stock Prices (1997)Testing and Locating Variance…A Multivariate Exponentially Weighted Moving Average Control Chart (1992)A Multivariate Exponentially …On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results (1991)On the Sensitivity of Mean-Va…Comparisons of MultivariateCUSUMCharts (1990)Comparisons of MultivariateCU…Optimal Stopping Times for Detecting Changes in Distributions (1986)Optimal Stopping Times for De…Multivariate CUSUM Quality-Control Procedures (1985)Multivariate CUSUM Quality-Co…A Diffusion Process and Its Applications to Detecting a Change in the Drift of Brownian Motion (1985)A Diffusion Process and Its A…On estimating the expected return on the market (1980)On estimating the expected re…On the Stable Paretian Behavior of Stock-Market Prices (1974)On the Stable Paretian Behavi…Control Chart Tests Based on Geometric Moving Averages (1959)Control Chart Tests Based on …CONTINUOUS INSPECTION SCHEMES (1954)CONTINUOUS INSPECTION SCHEMESPortfolio Selection (1952)Portfolio SelectionA novel application of statistical process control charts in financial market surveillance with the idea of profile monitoring (2023)A novel application of statis…Statistical Monitoring of Multi-Stage Processes (2018)Statistical Monitoring of Mul…Statistical Inferences for Realized Portfolio Weights (2018)Statistical Inferences for Re…On the application of new tests for structural changes on global minimum-variance portfolios (2013)On the application of new tes…Monitoring the mean of multivariate financial time series (2013)Monitoring the mean of multiv…A review of multivariate control charts (1995)Cumulative Sum Charts and Charting for Quality Improvement (1998)Introduction to Statistical Quality Control (2005)Current research on profile monitoring (2007)An Overview of Phase I Analysis for Process Improvement and Monitoring (2014)Some Current Directions in the Theory and Application of Statistical Process Monitoring (2014)Control Chart Tests Based on Geometric Moving Averages (1959)Exponentially Weighted Moving Average Control Schemes: Properties and Enhancements (1990)Multivariate SPC Methods for Process and Product Monitoring (1996)Control Chart Tests Based on Geometric Moving Averages (2000)Data quality for data science, predictive analytics, and big data in supply chain management: An introduction to the problem and suggestions for research and applications (2014)Procedures for Reacting to a Change in Distribution (1971)Detecting changes in signals and systems—A survey (1988)Sequential Changepoint Detection in Quality Control and Dynamical Systems (1995)The Use of Control Charts in Health-Care and Public-Health Surveillance (2006)Statistics for Experimenters (1979)Out of the Crisis (1982)Introduction to Statistical Quality Control (1992)Nonparametric Control Charts: An Overview and Some Results (2001)Phase I Analysis of Linear Profiles With Calibration Applications (2004)Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)60 Years of portfolio optimization: Practical challenges and current trends (2013)PORTFOLIO SELECTION* (1952)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Robust performance hypothesis testing with the Sharpe ratio (2008)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)An Approach to the Probability Distribution of Cusum Run Length (1972)Multivariate Generalizations of Cumulative Sum Quality-Control Schemes (1988)Regression Adjustment for Variables in Multivariate Quality Control (1993)Designing a Multivariate EWMA Control Chart (1997)Multivariate Statistical Process Control Using LASSO (2009)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Industry costs of equity (1997)changepoint : An R Package for Changepoint Analysis (2014)Selective review of offline change point detection methods (2019)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)The Capital Asset Pricing Model: Theory and Evidence (2004)
this work references cited by second hop

References

  • 1954CONTINUOUS INSPECTION SCHEMES5,731 cited
  • 1952Portfolio Selection4,609 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 1992A Multivariate Exponentially Weighted Moving Average Control Chart1,231 cited
  • 1986Optimal Stopping Times for Detecting Changes in Distributions1,022 cited
  • 1991On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results999 cited
  • 2006Effects of Parameter Estimation on Control Chart Properties: A Literature Review582 cited
  • 1990Comparisons of MultivariateCUSUMCharts520 cited
  • 2000Controversies and Contradictions in Statistical Process Control507 cited
  • 1959Control Chart Tests Based on Geometric Moving Averages492 cited
  • 1985Multivariate CUSUM Quality-Control Procedures411 cited
  • 1997Testing and Locating Variance Changepoints with Application to Stock Prices338 cited
  • 1974On the Stable Paretian Behavior of Stock-Market Prices230 cited
  • 2005Distributional properties of portfolio weights212 cited

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  • 1985A Diffusion Process and Its Applications to Detecting a Change in the Drift of Brownian Motion174 cited
  • Cited by

    • 2013On the application of new tests for structural changes on global minimum-variance portfolios19 cited
    • 2018Statistical Inferences for Realized Portfolio Weights18 cited
    • 2023A novel application of statistical process control charts in financial market surveillance with the idea of profile monitoring17 cited
    • 2013Monitoring the mean of multivariate financial time series15 cited
    • 2018Statistical Monitoring of Multi-Stage Processes8 cited