345
Views
12
CrossRef citations to date
0
Altmetric
Original Articles

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

ORCID Icon, , &
Pages 1622-1638 | Received 09 Aug 2017, Accepted 27 Apr 2018, Published online: 20 Jan 2019

References

  • Alexander, C., & Dimitriu, A. (2002). The cointegration alpha: enhanced index tracking and long-short equity market neutral strategies. ISMA Discussion Papers in Finance 8, 1–55.
  • Alexander, C., & Dimitriu, A. (2005). Indexing and statistical arbitrage: Tracking error or cointegration? The Journal of Portfolio Management, 31(2), 50–63.
  • Alexander, C., Giblin, I., & Weddington, W. (2002). Cointegration and asset allocation: A new active hedge fund strategy. Research in International Business and Finance, 16, 65–90.
  • Beasley, J. E., Meade, N., & Chang, T. J. (2003). An evolutionary heuristic for the index tracking problem. European Journal of Operational Research, 148(3), 621–643.
  • Bollen, B. (2015). What should the value of lambda be in the exponentially weighted moving average volatility model? Applied Economics, 47(8), 853–860.
  • Canakgoz, N. A., & Beasley, J. E. (2009). Mixed-integer programming approaches for index tracking and enhanced indexation. European Journal of Operational Research, 196(1), 384–399.
  • Coleman, T. F., Li, Y., & Henniger, J. (2006). Minimizing tracking error while restricting the number of assets. Journal of Risk, 8(4), 33–56.
  • Consiglio, A., & Zenios, S. A. (2001). Integrated simulation and optimization models for tracking international fixed income indices. Mathematical Programming, 89(2), 311–339.
  • Corte, P. D., Sarno, L., & Tsiakas, I. (2009). An economic evaluation of empirical exchange rate models. Review of Financial Studies, 22(9), 3491–3530.
  • DeMiguel, V., Nogales, F. J., & Uppal, R. (2014). Stock return serial dependence and out-of-sample portfolio performance. Review of Financial Studies, 27(4), 1031–1073.
  • Do, B., & Faff, R. (2012). Are pairs trading profits robust to trading costs? Journal of Financial Research, 35(2), 261–287.
  • Dunis, C. L., & Ho, R. (2005). Cointegration portfolios of European equities for index tracking and market neutral strategies. Journal of Asset Management, 6(1), 33–52.
  • Engle, R. F., & Granger, C. (1987). Cointegration and error correction: Representation, estimation and testing. Econometrica, 55, 251–276.
  • Fama, E. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25, 383–417.
  • Filomena, T. P., & Lejeune, M. A. (2014). Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs. Journal of Optimization Theory and Applications, 161(1), 308–329.
  • Golosnoy, V. (2007). Sequential monitoring of minimum variance portfolio. AStA Advances in Statistical Analysis, 91(1), 39–55.
  • Golosnoy, V., & Schmid, W. (2007). EWMA control charts for monitoring optimal portfolio weights. Sequential Analysis, 26(2), 195–224.
  • Golosnoy, V., Ragulin, S., & Schmid, W. (2011). CUSUM control charts for monitoring optimal portfolio weights. Computational Statistics & Data Analysis, 55(11), 2991–3009.
  • Granger, C. W. J. (1981). Some properties of time series data and their use in econometric model specification. Journal of Econometrics, 16(1), 121–130.
  • Guastaroba, G., & Speranza, M. G. (2012). Kernel search: an application to the index tracking problem. European Journal of Operational Research, 217(1), 54–68.
  • Hamilton, J. D. (1994). Time Series Analysis. Princeton, NJ: Princeton University Press.
  • Han, Y. (2006). Asset allocation with a high dimensional latent factor stochastic volatility model. Review of Financial Studies, 19(1), 237–271.
  • Hawkins, D. M., & Olwell, D. H. (1998). Cumulative Sum Charts and Charting for Quality Improvement. Berlin, Germany: Springer Science & Business Media.
  • Huang, C. C. (2014). Max control chart with adaptive sample sizes for jointly monitoring process mean and standard deviation. Journal of the Operational Research Society, 65(12), 1788–1799.
  • Koehler, A. B., Marks, N. B., & O'connell, R. T. (2001). EWMA control charts for autoregressive processes. Journal of the Operational Research Society, 52(6), 699–707.
  • Konno, H., & Wijayanayake, A. (2001). Minimal cost index tracking under nonlinear transactions costs and minimal transactions unit constraints. International Journal of Theoretical and Applied Finance, 4, 939–958.
  • Krink, T., Mittnik, S., & Paterlini, S. (2009). Differential evolution and combinatorial search for constrained index-tracking. Annals of Operations Research, 172(1), 153–176.
  • Lozza, S. O., Shalit, H., & Fabozzi, F. J. (2013). Portfolio selection problems consistent with given preference orderings. International Journal of Theoretical and Applied Finance, 16(5), 1–38.
  • Lucas, J. M., & Crosier, R. B. (1982). Fast initial response for CUSUM quality-control schemes: Give your CUSUM a head start. Technometrics, 24(3), 199–205.
  • Lucas, J. M., & Saccucci, M. S. (1990). Exponentially weighted moving average control schemes: Properties and enhancements. Technometrics, 32(1), 1–12.
  • MacKinnon, J. G. (1992). Critical values for cointegration tests. In R. Engle, C. Granger (Eds.) Long-Run Economic Relationships: Readings in Cointegration (chap 13, pp 274–290). Oxford: Oxford University Press.
  • MacKinnon, J. G. (2010). Critical Values for Cointegration Tests. Working Papers 1227, Queen’s University, Department of Economics.
  • Mezali, H., & Beasley, J. E. (2013). Quantile regression for index tracking and enhanced indexation. Journal of the Operational Research Society, 64(11), 1676–1692.
  • Montgomery, D. (1996). Introduction to Statistical Quality Control. New York, NY: John Wiley.
  • Rogerson, P. A. (2006). Formulas for the design of CUSUM quality control charts. Communications in Statistics - Theory and Methods, 35(2), 373–383.
  • Sant’Anna, L. R., Filomena, T. P., & Caldeira, J. (2017a). Index tracking and enhanced indexing using cointegration and correlation with endogenous portfolio selection. The Quarterly Review of Economics and Finance, 65, 146–157.
  • Sant’Anna, L. R., Filomena, T. P., Guedes, P. C., & Borenstein, D. (2017b). Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming. Annals of Operations Research, 258(2), 849–867.
  • Scozzari, A., Tardella, F., Paterlini, S., & Krink, T. (2013). Exact and heuristic approaches for the index tracking problem with UCITS constraints. Annals of Operations Research, 205(1), 235–250.
  • Wheeler, D. J., & Chambers, D. S. (1992). Understanding statistical process control. Knoxville, TN: SPC Press.
  • Woodall, W. H. (1986). Weaknesses of the economic design of control charts. Technometrics, 28(4), 408–409.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.