The distribution of the asset returns is subject to structural breaks. These breaks may lead to changes in the optimal portfolio weights. A fast detection of any change in the optimal portfolio weights is of great relevance for a portfolio investor. In this paper we introduce several control charts for the weights of the global minimum variance portfolio. All charts are based on exponential smoothing. The charts are compared with each other using the average and median run length performance criteria. The proposed methodology is applied to empirical data.
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Golosnoy et al. (2007) studied this question.
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