Statistical portfolio estimation

Statistical portfolio estimation

by Taniguchi, Masanobu

Type Book
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"This book presents an overview of the theory and applications of statistical portfolio estimation. The approach is necessarily mathematical, as the financial data involved is non-Gaussian and non-stationary. The book includes the required background in time series analysis and portfolio theory. It features applications to insurance and finance, and some interesting applications to biomedical and genetic data. MATLAB℗ʼ and R code for all the examples are available via the book website."--Provid…

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Title Statements

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

Summary

"This book presents an overview of the theory and applications of statistical portfolio estimation. The approach is necessarily mathematical, as the financial data involved is non-Gaussian and non-stationary. The book includes the required background in time series analysis and portfolio theory. It features applications to insurance and finance, and some interesting applications to biomedical and genetic data. MATLAB℗ʼ and R code for all the examples are available via the book website."--Provided by publisher.

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Edition Statements

  • Publication Date:2017

Publication Statements

  • Publisher(s):CRC Press
  • Place of Publication:Boca Raton, Fla
  • Language:eng
  • Publication Date:2017

The Physical Object

  • Description:1 online resource (pages)

Edition Identifiers

  • ISBN:9781315117355, 1315117355, 9781466505612, 1466505613
  • oclc:on1023263584

Subjects

Finance -- mathematical models Finance -- Statistical methods Portfolio management -- Mathematical mo…

Writers

Taniguchi, Masanobu

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