论文信息 - Monitoring Active Portfolios Using Statistical Process Control

Monitoring Active Portfolios Using Statistical Process Control

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.

Emmanuel Yashchin | David M. Stein | Thomas K. Philips

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