Return to search

Monitoring portfolio weights by means of the Shewhart method

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.

Identiferoai:union.ndltd.org:UPSALLA1/oai:DiVA.org:hh-4341
Date January 2010
CreatorsMohammadian, Jeela
PublisherHögskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)
Source SetsDiVA Archive at Upsalla University
LanguageEnglish
Detected LanguageEnglish
TypeStudent thesis, info:eu-repo/semantics/bachelorThesis, text
Formatapplication/pdf, application/pdf
Rightsinfo:eu-repo/semantics/openAccess, info:eu-repo/semantics/openAccess

Page generated in 0.0021 seconds