Monitoring portfolio weights by means of the Shewhart method: Monitoring portfolio weights,Used

Monitoring portfolio weights by means of the Shewhart method: Monitoring portfolio weights,Used

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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.

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