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Journal of the Operational Research Society Volume 70, 2019 - Issue 10: Computational Approaches and Data Analytics in Financial Services
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Original Articles

Investigating the use of statistical process control charts for index tracking portfolios

Leonardo Riegel Sant'AnnaDepartment of Economics, Federal University of Rio Grande do Sul, Porto Alegre, Brazil; Correspondence[email protected]
ORCID Iconhttp://orcid.org/0000-0002-6557-0384
ORCID Icon,
Tiago Pascoal FilomenaSchool of Business, Federal University of Rio Grande do Sul, Porto Alegre, Brazil
,
João Frois CaldeiraDepartment of Economics, Federal University of Rio Grande do Sul, Porto Alegre, Brazil;
&
Denis BorensteinSchool of Business, Federal University of Rio Grande do Sul, Porto Alegre, Brazil
Pages 1622-1638 | Received 09 Aug 2017, Accepted 27 Apr 2018, Published online: 20 Jan 2019

Citations (12)

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Read on this site (3)

Zhongyi Jiang, Baiyi Wu, Qiying Hu & Xiaojin Zheng. (2022) Cardinality-constrained programs with nonnegative variables and an SCA method. Journal of the Operational Research Society 73:3, pages 634-652.
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Eduardo Nesi Bubicz, Tiago Pascoal Filomena, Leonardo Riegel Sant’Anna & Eduardo Bered Fernandes Vieira. (2021) Rebalancing index tracking portfolios with cumulative sum (CUSUM) control charts. The Engineering Economist 66:4, pages 319-345.
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Linzi Liu, Xin Lai, Xiaofang Cai, Wei (Wayne) Huang & Weimin Miao. Proposing an innovative real-time monitoring approach for the parameter stability of credit-default prediction model. Journal of the Operational Research Society 0:0, pages 1-12.
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Articles from other publishers (9)

Julio Cezar Soares Silva, Diogo Ferreira de Lima Silva & Adiel Teixeira de Almeida Filho. (2022) An enhanced GRASP approach for the index tracking problem. International Transactions in Operational Research 31:3, pages 1828-1858.
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Julio Cezar Soares Silva & Adiel Teixeira de Almeida Filho. (2024) A systematic literature review on solution approaches for the index tracking problem. IMA Journal of Management Mathematics 35:2, pages 163-196.
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Eduardo Bered Fernandes Vieira, Tiago Pascoal Filomena, Leonardo Riegel Sant’anna & Miguel A. Lejeune. (2021) Liquidity-constrained index tracking optimization models. Annals of Operations Research 330:1-2, pages 73-118.
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Ali Yeganeh & Sandile Charles Shongwe. (2023) A novel application of statistical process control charts in financial market surveillance with the idea of profile monitoring. PLOS ONE 18:7, pages e0288627.
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Julio Cezar Soares Silva & Adiel Teixeira de Almeida Filho. (2023) Using GAN-generated market simulations to guide genetic algorithms in index tracking optimization. Applied Soft Computing, pages 110587.
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Texian Zhang, Zhen He & Amitava Mukherjee. (2023) Monitoring negative sentiment scores and time between customer complaints via one-sided distribution-free EWMA schemes. Computers & Industrial Engineering 180, pages 109247.
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Konstantinos Bisiotis, Stelios Psarakis & Athanasios N. Yannacopoulos. (2022) Affine Term Structure Models: Applications in Portfolio Optimization and Change Point Detection. Mathematics 10:21, pages 4094.
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Konstantinos Bisiotis, Stelios Psarakis & Athanasios N. Yannacopoulos. (2021) Control charts in financial applications: An overview. Quality and Reliability Engineering International 38:3, pages 1441-1462.
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Thiago Wanderley De Amorim, Julio Cezar Soares Silva & Adiel Teixeira De Almeida Filho. (2021) Evaluation of Index Tracking Portfolios During the COVID-19 Pandemic. Evaluation of Index Tracking Portfolios During the COVID-19 Pandemic.

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