Monitoring portfolio weights by means of the Shewhart method

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