Statistical Portfolio Estimation

Masanobu Taniguchi*, Hiroshi Shiraishi, Junichi Hirukawa, Hiroko Kato Solvang, Takashi Yamashita

*この研究の対応する著者

研究成果: Book

抄録

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.

本文言語English
出版社CRC Press
ページ数364
ISBN(電子版)9781466505612
ISBN(印刷版)9781315117355
DOI
出版ステータスPublished - 2017 9月 1
外部発表はい

ASJC Scopus subject areas

  • 数学 (全般)

フィンガープリント

「Statistical Portfolio Estimation」の研究トピックを掘り下げます。これらがまとまってユニークなフィンガープリントを構成します。

引用スタイル