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Statistical Portfolio Estimation
- Publication Year :
- 2017
-
Abstract
- 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.
Details
- Language :
- English
- ISBNs :
- 9781466505605, 9781032096490, 9780367830953, 9781351643627, 9781466505612, and 9781315117355
- Database :
- eBook Index
- Journal :
- Statistical Portfolio Estimation
- Publication Type :
- eBook
- Accession number :
- 1588780