SEQUENTIAL SURVEILLANCE OF THE TANGENCY PORTFOLIO WEIGHTS

Olha Bodnar ()
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Olha Bodnar: Department of Statistics, European University Viadrina, P. O. Box 1786, Frankfurt (Oder), 15207, Germany

International Journal of Theoretical and Applied Finance (IJTAF), 2009, vol. 12, issue 06, 797-810

Abstract: 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 in a situation that is practically relevant.

Keywords: Asset allocation; tangency portfolio; control charts; statistical process control (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (13)

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DOI: 10.1142/S0219024909005464

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