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Statistical Portfolio Estimation - Masanobu Taniguchi,Hiroshi Shiraishi,Junichi Hirukawa

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2021-06-30
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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 ... Visas aprašymas

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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.

Daugiau informacijos

Autorius Masanobu Taniguchi, Hiroshi Shiraishi, Junichi Hirukawa
Leidėjas Chapman and Hall/CRC
Išleidimo metai 2021
Viršelio tipas Minkšti viršeliai
EAN 9781032096490
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134,77 € 179,70 €