Sequential monitoring of portfolio betas

Vasyl Golosnoy

Statistical Papers, 2018, vol. 59, issue 2, No 11, 663-684

Abstract: Abstract We suggest statistical instruments for on-line surveillance of the portfolio characteristic beta from the one factor model (CAPM). The aim is to check at every new date, whether the investor’s portfolio exhibits the required beta factors. Daily realized betas calculated with intraday information constitute the time series of interest. We consider both the conventional as well as our novel two scale realized beta estimators. The proposed monitoring schemes are designed to provide timely signals that the actual portfolio betas may deviate from the desired values in a statistically significant way. The empirical study illustrates the proposed methodology for US market data.

Keywords: One factor model; Control charts; On-line monitoring; Realized beta; Statistical process control (search for similar items in EconPapers)
JEL-codes: C12 C44 G11 G14 (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/s00362-016-0783-6

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