EconPapers    
Economics at your fingertips  
 

Sequential monitoring of portfolio betas

Vasyl Golosnoy ()
Additional contact information
Vasyl Golosnoy: Ruhr University Bochum

Statistical Papers, 2018, vol. 59, issue 2, 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
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://link.springer.com/10.1007/s00362-016-0783-6 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:stpapr:v:59:y:2018:i:2:d:10.1007_s00362-016-0783-6

Ordering information: This journal article can be ordered from
http://www.springer. ... business/journal/362

Access Statistics for this article

Statistical Papers is currently edited by C. Müller, W. Krämer and W.G. Müller

More articles in Statistical Papers from Springer
Bibliographic data for series maintained by Sonal Shukla ().

 
Page updated 2019-05-21
Handle: RePEc:spr:stpapr:v:59:y:2018:i:2:d:10.1007_s00362-016-0783-6