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Can I read CUSUM control charts for monitoring optimal portfolio weights on EtoBox?
CUSUM control charts for monitoring optimal portfolio weights by Vasyl Golosnoy; Sergiy Ragulin; Wolfgang Schmid is a Mathematics article available to read on EtoBox.
What is CUSUM control charts for monitoring optimal portfolio weights about?
in the covariance matrix Statistical process control a b s t r a c t A portfolio investor requires statistical tools for the timely detection of changes in the optimal portfolio composition. Several multivariate cumulative sum (CUSUM) control charts are proposed for the purpose of monitoring optimal portfolio weights. The ability of the CUSUM schemes to detect important types of changes in the optimal portfolio weights is analyzed in an extensive Monte Carlo simulation study. The empirical application of control charts shows that the proposed methodology can provide a significant reduction of the portfolio volatility.
Who reads CUSUM control charts for monitoring optimal portfolio weights?
It is typically read by researchers, students, and practitioners in Mathematics.
- Author
- Vasyl Golosnoy; Sergiy Ragulin; Wolfgang Schmid
- Publisher
- Elsevier Science; Elsevier ; Elsevier BV (ISSN 0167-9473)
- Published
- 2011
- Language
- EN
- Field
- Mathematics (Physical Sciences)
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