On a CAPM monitoring based on the EWMA process control
| Year of publication: |
2003-08-01
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| Authors: | Ergashev, Bakhodir A |
| Institutions: | Society for Computational Economics - SCE |
| Subject: | CAPM | EWMA | Statistical process control | asymptotic expansions |
| Extent: | application/pdf |
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| Series: | |
| Type of publication: | Book / Working Paper |
| Notes: | The text is part of a series Computing in Economics and Finance 2002 Number 283 |
| Classification: | G11 - Portfolio Choice ; C44 - Statistical Decision Theory; Operations Research |
| Source: |
Persistent link: https://www.econbiz.de/10005132923