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Monitoring portfolio weights by means of the Shewhart method

 

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  • Product Description
 

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.

Product Specifications
SKU :COC38859
AuthorJeela Mohammadian
LanguageEnglish
BindingPaperback
Number of Pages68
Publishing Year2010-02-08T00:00:00.000
ISBN978-3838387598
Edition1 st
Book TypeStochastics
Country of ManufactureIndia
Product BrandLAP LAMBERT Academic Publishing
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-01-08 00:00:00
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