Rebalancing index tracking portfolios with cumulative sum (CUSUM) control charts
Year of publication: |
2021
|
---|---|
Authors: | Bubicz, Eduardo Nesi ; Filomena, Tiago Pascoal ; Sant'Anna, Leonardo Riegel ; Vieira, Eduardo Bered Fernandes |
Published in: |
The engineering economist : a journal devoted to the problems of capital investment. - Philadelphia, Pa. : Taylor & Francis, ISSN 1547-2701, ZDB-ID 2066279-8. - Vol. 66.2021, 4, p. 319-345
|
Subject: | Portfolio-Management | Portfolio selection | Theorie | Theory | Statistische Qualitätskontrolle | Statistical quality control |
-
Statistical process control in asset management
Golosnoy, Vasyl, (2009)
-
EWMA control charts for monitoring optimal portfolio weights
Golosnoy, Vasyl, (2008)
-
New characteristics for portfolio surveillance
Golosnoy, Vasyl, (2008)
- More ...
-
Liquidity constraints for portfolio selection based on financial volume
Vieira, Eduardo Bered Fernandes, (2020)
-
Index tracking com controle do número de ativos
Sant'Anna, Leonardo Riegel, (2014)
-
Lasso-based index tracking and statistical arbitrage long-short strategies
Sant'Anna, Leonardo Riegel, (2020)
- More ...