hh.sePublications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Monitoring portfolio weights by means of the Shewhart method
Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE). (Master of Financial Mathematics)
2010 (English)Independent thesis Advanced level (degree of Master (One Year)), 15 credits / 22,5 HE creditsStudent thesis
Abstract [en]

The distribution of asset returns may lead to structural breaks. Thesebreaks may result in changes of the optimal portfolio weights. For a port-folio investor, the ability of timely detection of any systematic changesin the optimal portfolio weights is of a great interest.In this master thesis work, the use of the Shewhart method, as amethod for detecting a sudden parameter change, the implied changein the multivariate portfolio weights and its performance is reviewed.

 

Place, publisher, year, edition, pages
2010. , 24 p.
Keyword [en]
Mathematics, Finacial Mathematics, Shewhart method; Change-point detection; Monitoring; ARL.
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:hh:diva-4341OAI: oai:DiVA.org:hh-4341DiVA: diva2:314976
Presentation
2010-04-22, E202, Halmstad university, IDE, 13:00 (English)
Uppsok
Physics, Chemistry, Mathematics
Supervisors
Examiners
Available from: 2010-05-06 Created: 2010-04-28 Last updated: 2010-06-10Bibliographically approved

Open Access in DiVA

fulltext(895 kB)300 downloads
File information
File name FULLTEXT01.pdfFile size 895 kBChecksum SHA-512
bf958af598bf2cba318203e1a3b486e7f00a2c9602fe8e148e288547c87c6307ea0d60efe9f822f4717240eb67fb38dd27c478dc69c74ee6b4d321f4f0d68fc9
Type fulltextMimetype application/pdf
fulltext(895 kB)446 downloads
File information
File name FULLTEXT02.pdfFile size 895 kBChecksum SHA-512
bf958af598bf2cba318203e1a3b486e7f00a2c9602fe8e148e288547c87c6307ea0d60efe9f822f4717240eb67fb38dd27c478dc69c74ee6b4d321f4f0d68fc9
Type fulltextMimetype application/pdf

Search in DiVA

By author/editor
Mohammadian, Jeela
By organisation
School of Information Science, Computer and Electrical Engineering (IDE)
Probability Theory and Statistics

Search outside of DiVA

GoogleGoogle Scholar
Total: 746 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Total: 186 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf