Statistical Portfolio Estimation (inbunden)
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Format
Inbunden (Hardback)
Språk
Engelska
Antal sidor
378
Utgivningsdatum
2017-08-21
Förlag
Taylor & Francis Inc
Dimensioner
257 x 178 x 25 mm
Vikt
976 g
ISBN
9781466505605

Statistical Portfolio Estimation

av Masanobu Taniguchi, Hiroshi Shiraishi, Junichi Hirukawa, Hiroko Kato Solvang, Takashi Yamashita
Inbunden,  Engelska, 2017-08-21
1765
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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

Övrig information

Masanobu Taniguchi is a research professor in the Department of Applied Mathematics at Waseda University, Japan. Hiroshi Shiraishi is a lecturer in the Laboratory of Mathematics, Jikei University School of Medicine, Japan. Junichi Hirukawa is an associate professor in the Faculty of Science at Niigata University, Japan. Hiroko Solvang Kato is a researcher and project leader in the Department of Genetics, Institute for Cancer Research, Oslo University Hospital, Norway.

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