<p>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.</p><p> </p>
| Identifer | oai:union.ndltd.org:UPSALLA/oai:DiVA.org:hh-4341 |
| Date | January 2010 |
| Creators | Mohammadian, Jeela |
| Publisher | Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE) |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, text |
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