CUSUM control charts for monitoring optimal portfolio weights.

Vasyl Golosnoy Sergiy Ragulin Wolfgang Schmid

Published in: Comput. Stat. Data Anal. (2011)

Keyphrases

cumulative sum
control charts
statistical process control
optimal portfolio
portfolio selection
anomaly detection
process control
weighted moving average
parallel algorithm
real time
adaptive control
abnormal patterns
artificial neural networks
dynamic programming