Abstract
We consider the problem of estimating the performance of a portfolio via an on-line algorithm; i.e. the return of the portfolio is measured at regular (typically monthly) intervals, and every time a new return for the portfolio is received, the estimate of the portfolio’s current performance is updated. An alarm is raised when sufficient statistical evidence accrues to determine that the portfolio is not meeting some prespecified criterion of satisfactory performance.
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Yashchin, E., Philips, T.K., Stein, D.M. (1997). Monitoring Active Portfolios Using Statistical Process Control. In: Amman, H., Rustem, B., Whinston, A. (eds) Computational Approaches to Economic Problems. Advances in Computational Economics, vol 6. Springer, Boston, MA. https://doi.org/10.1007/978-1-4757-2644-2_13
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DOI: https://doi.org/10.1007/978-1-4757-2644-2_13
Publisher Name: Springer, Boston, MA
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