Statistical Portfolio Estimation

"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® and R code for all the examples are available via the book website."--Provided by publisher.

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 Bibliographic Notes.

Chapter 4. Multiperiod Problem for…