SEQUENTIAL SURVEILLANCE OF THE TANGENCY PORTFOLIO WEIGHTS
Author:
Affiliation:
1. Department of Statistics, European University Viadrina, P. O. Box 1786, Frankfurt (Oder), 15207, Germany
Abstract
Publisher
World Scientific Pub Co Pte Lt
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.worldscientific.com/doi/pdf/10.1142/S0219024909005464
Reference21 articles.
1. O. Bodnar, Advances in Risk Management, ed. G. N. Gregoriou (Palgrave, London, 2007) pp. 241–264.
2. Surveillance of the mean behavior of multivariate time series
3. Properties of the singular, inverse and generalized inverse partitioned Wishart distributions
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