Økonometri og økonomisk statistik
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Statistical Portfolio Estimation
Udgivet af Taylor & Francis Ltd
ISBN
9781032096490
Om denne bog
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…
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Bogdetaljer
Forfatter
Junichi Hirukawa, Masanobu Taniguchi, Takashi Yamashita, Hiroshi Shiraishi, Hiroko Kato Solvang
Forlag
Taylor & Francis Ltd
Kategori
Økonometri og økonomisk statistik
ISBN-13
9781032096490
EAN
9781032096490
Format
Hæftet
Sprog
Engelsk
sider
388
Produktbeskrivelse
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.
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