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Monitoring portfolio weights by means of the Shewhart method

Jeela Mohammadian

ISBN 10: 3838387597 / ISBN 13: 9783838387598
Published by LAP LAMBERT Academic Publishing
New Condition: New Soft cover
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Paperback. 68 pages. Dimensions: 8.7in. x 5.9in. x 0.2in.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. This item ships from multiple locations. Your book may arrive from Roseburg,OR, La Vergne,TN. Bookseller Inventory # 9783838387598

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Title: Monitoring portfolio weights by means of the...

Publisher: LAP LAMBERT Academic Publishing

Binding: Paperback

Book Condition:New

Book Type: Paperback

About this title

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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.

About the Author:

The distribution of asset returns may lead to structural breaks. These breaks may result in changes of the optimal portfolio weights. In this 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.

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