CUSUM control charts for monitoring optimal portfolio weights

被引：16

作者：

Golosnoy, Vasyl ^{[1
]}

Ragulin, Sergiy ^{[2
]}

Schmid, Wolfgang ^{[2
]}

机构：

[1] Univ Kiel, Inst Stat & Econometr, D-24118 Kiel, Germany

[2] European Univ Viadrina, Dept Stat, D-15230 Frankfurt, Oder, Germany

来源：

COMPUTATIONAL STATISTICS & DATA ANALYSIS | 2011年 / 55卷 / 11期

关键词：

CUSUM charts; Minimum variance portfolio; Changes in the covariance matrix; Statistical process control; MULTIVARIATE; SURVEILLANCE; BEHAVIOR; MARKET;

D O I：

10.1016/j.csda.2011.05.004

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

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. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：2991 / 3009

页数：19

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