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Statistical Portfolio Estimation

By: Masanobu Taniguchi,Hiroshi Shiraishi,Junichi Hirukawa,Hiroko Kato Solvang,Takashi Yamashita

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Statistical Portfolio Estimation

By: Masanobu Taniguchi,Hiroshi Shiraishi,Junichi Hirukawa,Hiroko Kato Solvang,Takashi Yamashita

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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Page Count

389

Publisher

CRC Press

Published Date

ISBN 10

1466505613

ISBN 13

9781466505612

Statistical Portfolio Estimation

By: Masanobu Taniguchi,Hiroshi Shiraishi,Junichi Hirukawa,Hiroko Kato Solvang,Takashi Yamashita

Write a review Read reviews Take a Quiz Solve Book Puzzle

Statistical Portfolio Estimation

By: Masanobu Taniguchi,Hiroshi Shiraishi,Junichi Hirukawa,Hiroko Kato Solvang,Takashi Yamashita

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.

Average ratings

N/A

5

0%

4

0%

3

0%

2

0%

1

0%

Solve jigsaw puzzle

Age

Page Count

389

Publisher

CRC Press

Published Date

ISBN 10

1466505613

ISBN 13

9781466505612