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1. 1. Monitoring portfolio weights by means of the Shewhart method

   University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

   Author : Jeela Mohammadian; [2010]
   Keywords : Mathematics; Finacial Mathematics; Shewhart method; Change-point detection; Monitoring; ARL.;

   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. READ MORE