On the Application of SPC in Finance
On the Application of SPC in Finance
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浅谈SPC在金融中的应用
DOI：
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发表时间：
2010
期刊：
影响因子：
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通讯作者：
W. Schmid
中科院分区：
文献类型：
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作者：
Vasyl Golosnoy;Iryna Okhrin;S. Ragulin;W. Schmid
金融分析师对快速在线检测最优投资组合的变化感兴趣。虽然这是一个典型的序列问题，但大多数金融文献都忽略了这一事实，并以非序列的方式处理它。研究了全局最小方差投资组合（GMVP）的权重监控问题。
A financial analyst is interested in a fast on-line detection of changes in the optimal portfolio composition. Although this is a typical sequential problem the majority of papers in financial literature ignores this fact and handles it in a non-sequential way. This paper deals with the problem of monitoring the weights of the global minimum variance portfolio (GMVP).