EWMA Control Charts for Monitoring Optimal Portfolio Weights

By Vasyl Golosnoy, Wolfgang Schmid. 2007

63 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/79d2bb52c3b46a9a0e890265a053a176f9cbb56a

How researchers see this paper

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In Statistics and Probability

1. Thaddeus Neururer
2. Jinsheng Sun
3. Ben Van Vliet
4. Xuelong Hu
5. Philippe Castagliola
6. Andrew Kumiega
7. Anan Tang
8. Giovanni Celano

Citations in the corpus

• Optimal design of the adaptive EWMA chart for the mean based on median run length and expected median run length (2019, background): “…in view of the advantage provided by the MRL as a better and fair indicator of central tendency, Gan (1993, 1994), Shmueli and Cohen (2003), Golosnoy and Schmid (2007), Capizzi and Masarotto (2008), Khoo, Wong, Wu, and Castagliola (2012), Low, Khoo, Teoh, and Wu (2012), Nyau, Ming, and…”
• Trading system capability (2014, background): “…to problems in trading, investment, portfolio construction and risk management, including Schmid and Severin (1998), Frisen (2003), Rowe (2003), Schmid and Golosnoy (2007), Bock (2008), Schmid and Bodnar (2008), Schmid, W. and Okhrin (2008), Golosnoy and Schmid (2009), Hittesdorf (2009),…”