Statistical portfolio estimation

by Taniguchi, Masanobu

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Title Statements

Full title :Statistical portfolio estimation / Masanobu Taniguchi, [and four others].

Summary

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.--

Edition Statements

Publication Date:2018

Publication Statements

Publisher(s):CRC Press, Taylor & Francis Group
Place of Publication:Boca Raton, FL
Language:eng
Publication Date:2018

The Physical Object

Description:x, 377 pages ; : 27 cm

Edition Identifiers

ISBN:9781466505605, 1466505605
oclc:ocn992119845
LC Classification:HG176.5
Dewey Decimal:332.601/5195

Subjects