Monitoring portfolio weights by means of the Shewhart method

Monitoring portfolio weights by means of the Shewhart method

Monitoring portfolio weights

LAP Lambert Academic Publishing ( 02.08.2010 )

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The distribution of asset returns may lead to structural breaks. These breaks may result in changes of the optimal portfolio weights. For a portfolio investor, the ability of timely detection of any systematic changes in the optimal portfolio weights is of a great interest. In this master thesis work, the use of the Shewhart method, as a method for detecting a sudden parameter change, the implied change in the multivariate portfolio weights and its performance is reviewed.

Kitap detayları:

ISBN-13:

978-3-8383-8759-8

ISBN-10:

3838387597

EAN:

9783838387598

Kitabın dili:

English

Yazar:

Jeela Mohammadian

Sayfa sayısı:

68

Yayın tarihi:

02.08.2010

Kategori:

Olasılık teorisi, stokastik, matematiksel istatistik