Sequential Monitoring of Optimal Portfolio Weights

Research output: Contribution to book/Conference proceedings/Anthology/Report › Chapter in book/Anthology/Report › Invited › peer-review

Contributors

  • Vasyl Golosnoy - , Kiel University, Institute of Statistics and Econometrics (Author)
  • Wolfgang Schmid - , Europe University Viadrina (Author)
  • Iryna Okhrin - , Europe University Viadrina (Author)

Abstract

This chapter contains sections titled: Introduction Optimal portfolio composition Sequential methods in portfolio selection Control charts for the GMVP weights Simulation study Empirical study Concluding remarks Acknowledgements References

Details

Original languageEnglish
Title of host publicationFinancial Surveillance
EditorsMarianne Frisen
PublisherJohn Wiley & Sons, Ltd
Chapter7
Pages179-210
Number of pages32
ISBN (electronic)9780470987179
ISBN (print)9780470061886
Publication statusPublished - 2007
Peer-reviewedYes
Externally publishedYes

External IDs

Scopus 79959760944
ORCID /0000-0002-9732-9405/work/173987786

Keywords

Keywords

  • global minimum variance portfolio (GMVP), statistical process control (SPC), exponentially weighted moving average chart (EWMA), average run length (ARL)