In this paper we derive the asymptotic distributions of the estimated weights and of estimated performance measures of the minimum value-at-risk portfolio and of the minimum conditional value-at-risk portfolio assuming that the asset returns follow a strictly stationary process. It is proved...

In this paper sequential procedures are proposed for jointly monitoring all elements of the covariance matrix at lag 0 of a multivariate time series. All control charts are based on exponential smoothing. As a measure of the distance between the target values and the actual values the...