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.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:hh-4341 |
| Date | January 2010 |
| Creators | Mohammadian, Jeela |
| Publisher | Högskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE) |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf, application/pdf |
| Rights | info:eu-repo/semantics/openAccess, info:eu-repo/semantics/openAccess |
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