Title Statements
- Full title :Statistical Portfolio Estimation.
Edition Statements
- Publication Date:©2018
- Edition:1st ed
Publication Statements
- Publisher(s):CRC Press
- Place of Publication:Milton
- Language:eng
- Publication Date:©2018
The Physical Object
- Description:1 online resource (389 pages)
Edition Identifiers
- ISBN:9781466505612, 1466505613
- oclc:on1041148947
Table of Contents
Cover -- Half Title -- Title -- Copyright -- Contents -- Preface -- Chapter 1. Introduction -- Chapter 2. Preliminaries -- 2.1 Stochastic Processes and Limit Theorems -- Chapter 3. Portfolio Theory for Dependent Return Processes -- 3.1 Introduction to Portfolio Theory -- 3.1.1 Mean-Variance Portfolio -- 3.1.2 Capital Asset Pricing Model -- 3.1.3 Arbitrage Pricing Theory -- 3.1.4 Expected Utility Theory -- 3.1.5 Alternative Risk Measures -- 3.1.6 Copulas and Dependence -- 3.1.7 Bibliographic Notes -- 3.1.8 Appendix -- 3.2 Statistical Estimation for Portfolios -- 3.2.1 Traditional Mean-Variance Portfolio Estimators -- 3.2.2 Pessimistic Portfolio -- 3.2.3 Shrinkage Estimators -- 3.2.4 Bayesian Estimation -- 3.2.5 Factor Models -- 3.2.5.1 Static factor models -- 3.2.5.2 Dynamic factor models -- 3.2.6 High-Dimensional Problems -- 3.2.6.1 The case of m/n . y . (0, 1 -- 3.2.6.2 The case of m/n . y . (1,8 -- 3.2.7 Bibliographic Notes -- 3.2.8 Appendix -- 3.3 Simulation Results -- 3.3.1 Quasi-Maximum Likelihood Estimator -- 3.3.2 Efficient Frontier -- 3.3.3 Difference between the True Point and the Estimated Point -- 3.3.4 Inference of æP -- 3.3.5 Inference of Coefficient -- 3.3.6 Bibliogr…
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