Statistical Portfolio Estimation (e-bok)
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E-bok
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Språk
Engelska
Antal sidor
378
Utgivningsdatum
2017-09-01
Förlag
CRC Press
ISBN
9781351643627

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Statistical Portfolio Estimation (e-bok)

Statistical Portfolio Estimation E-bok

av Masanobu Taniguchi, Hiroshi Shiraishi, Junichi Hirukawa, Hiroko Kato Solvang, Takashi Yamashita
E-bok (EPUB - DRM), Engelska, 2017-09-01
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The composition of portfolios is one of the most fundamental and important methods in financial engineering, used to control the risk of investments. This book provides a comprehensive overview of statistical inference for portfolios and their various applications. A variety of asset processes are introduced, including non-Gaussian stationary processes, nonlinear processes, non-stationary processes, and the book provides a framework for statistical inference using local asymptotic normality (LAN). The approach is generalized for portfolio estimation, so that many important problems can be covered.This book can primarily be used as a reference by researchers from statistics, mathematics, finance, econometrics, and genomics. It can also be used as a textbook by senior undergraduate and graduate students in these fields.
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Masanobu Taniguchi, Hiroshi Shiraishi, Junichi Hirukawa, Hiroko Kato Solvang, Takashi Yamashita