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...

Purpose – The search of the optimal economic design of the Bayesian adaptive control charts for finite production runs can be a long and tedious procedure due to the intrinsic structure of the optimization problem, which requires a dynamic programming approach to select the best decision at...