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- W157785917 abstract "A financial analyst is interested in a fast on-line detection of changes in the optimal portfolio composition. Although this is a typical sequential problem the majority of papers in financial literature ignores this fact and handles it in a non-sequential way. This paper deals with the problem of monitoring the weights of the global minimum variance portfolio (GMVP). We consider several control charts based on the estimated GMVP weights as well as on other closely related characteristic processes. Different types of EWMA and CUSUM control schemes are applied for our purpose. The behavior of the schemes is investigated within an extensive Monte Carlo simulation study. The average run length criterion serves as a comparison measure for the discussed charts." @default.
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- W157785917 date "2010-01-01" @default.
- W157785917 modified "2023-10-09" @default.
- W157785917 title "On the Application of SPC in Finance" @default.
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- W157785917 doi "https://doi.org/10.1007/978-3-7908-2380-6_8" @default.
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