Monitoring Portfolio Weights by Means of the Shewhart Method - Jeela Mohammadian - Books - LAP LAMBERT Academic Publishing - 9783838387598 - August 2, 2010
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Jeela Mohammadian
Monitoring Portfolio Weights by Means of the Shewhart Method

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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.

Media Books     Paperback Book   (Book with soft cover and glued back)
Released August 2, 2010
ISBN13 9783838387598
Publishers LAP LAMBERT Academic Publishing
Pages 68
Dimensions 225 × 4 × 150 mm   ·   119 g
Language German  

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