Sequential monitoring of minimum variance portfolio

AStA Advances in Statistical Analysis - Tập 91 - Trang 39-55 - 2007
Vasyl Golosnoy1
1Institute of Statistics and Econometrics University of Kiel, Kiel, Germany

Tóm tắt

This paper evaluates the economic effect of monitoring the minimum variance portfolio weights, which depend solely on the covariance matrix of returns. The investor decides whether the portfolio composition providing the smallest portfolio variance remains optimal at the beginning of every new investment period. For this purpose changes in the optimal weights are sequentially detected by means of EWMA control charts. Signals obtained from monitoring are used for improvement of the covariance matrix estimation procedure. The investment strategy exploiting signals from control charts is compared with a number of alternative approaches in the empirical study.

Tài liệu tham khảo

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