CUSUM control charts for monitoring optimal portfolio weights

被引：15
|
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
收藏
页码：2991 / 3009
页数：19
相关论文
共 50 条
  • [1] EWMA control charts for monitoring optimal portfolio weights
    Golosnoy, Vasyl
    Schmid, Wolfgang
    [J]. Sequential Analysis, 2007, 26 (02) : 195 - 224
  • [2] Optimal parameters for CUSUM-FIR control charts for monitoring process mean
    Carlos Garcia-Diaz, J.
    Aparisi, Francisco
    [J]. EUROPEAN JOURNAL OF INDUSTRIAL ENGINEERING, 2014, 8 (01) : 69 - 89
  • [3] DESIGN OF OPTIMAL EXPONENTIAL CUSUM CONTROL CHARTS
    GAN, FF
    [J]. JOURNAL OF QUALITY TECHNOLOGY, 1994, 26 (02) : 109 - 124
  • [4] AN OPTIMAL-DESIGN OF CUSUM QUALITY-CONTROL CHARTS
    GAN, FF
    [J]. JOURNAL OF QUALITY TECHNOLOGY, 1991, 23 (04) : 279 - 286
  • [5] Monitoring antimicrobial resistance (AMR) using CUSUM control charts
    Righi, L.
    Amarsy, R.
    Picat, M. -Q.
    Thuillier, M.
    Cambau, E.
    Raskine, L.
    Chevret, S.
    Flicoteaux, R.
    [J]. EUROPEAN JOURNAL OF CLINICAL MICROBIOLOGY & INFECTIOUS DISEASES, 2017, 36 (08) : 1519 - 1525
  • [6] Adaptive CUSUM control charts for efficient monitoring of process dispersion
    Zaman, Babar
    [J]. QUALITY AND RELIABILITY ENGINEERING INTERNATIONAL, 2022, 38 (05) : 2273 - 2302
  • [7] Condition monitoring based on modified CUSUM and EWMA control charts
    Fernando da Silva Lampreia, Suzana Paula Gomes
    Gomes Requeijo, Jose Fernando
    Mendonca Dias, Jose Antonio
    Vairinhos, Valter Martins
    Soares Barbosa, Patricia Isabel
    [J]. JOURNAL OF QUALITY IN MAINTENANCE ENGINEERING, 2018, 24 (01) : 119 - 132
  • [8] Efficient CUSUM control charts for monitoring the multivariate coefficient of variation
    Hu, XueLong
    Zhang, SuYing
    Zhang, Jing
    Saghir, Aamir
    [J]. COMPUTERS & INDUSTRIAL ENGINEERING, 2023, 179
  • [9] Monitoring antimicrobial resistance (AMR) using CUSUM control charts
    L. Righi
    R. Amarsy
    M.-Q. Picat
    M. Thuillier
    E. Cambau
    L. Raskine
    S. Chevret
    R. Flicoteaux
    [J]. European Journal of Clinical Microbiology & Infectious Diseases, 2017, 36 : 1519 - 1525
  • [10] Parabolic CUSUM control charts
    Wiklund, SJ
    [J]. COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 1997, 26 (01) : 107 - 123
12345