SEQUENTIAL SURVEILLANCE OF THE TANGENCY PORTFOLIO WEIGHTS

In this paper we derive sequential procedures for monitoring the structure of the tangency portfolio. A new measure of the distance between the estimated weights and the weights of the holding portfolio is suggested which is used in the derivation of the control schemes. The results are applied in a situation that is practically relevant.

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Year of publication:	2009
Authors:	BODNAR, OLHA
Published in:	International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 12.2009, 06, p. 797-810
Publisher:	World Scientific Publishing Co. Pte. Ltd.
Subject:	Asset allocation \| tangency portfolio \| control charts \| statistical process control

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Extent:	application/pdf text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008474830