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

ISBN-10: 1466505605

ISBN-13: 9781466505605

The composition of portfolios is likely one of the so much primary and critical equipment in monetary engineering, used to manage the danger of investments. This ebook presents a finished evaluate of statistical inference for portfolios and their a variety of purposes. quite a few asset approaches are brought, together with non-Gaussian desk bound methods, nonlinear strategies, non-stationary strategies, and the booklet offers a framework for statistical inference utilizing neighborhood asymptotic normality (LAN). The procedure is generalized for portfolio estimation, in order that many vital difficulties should be covered.

This booklet can essentially be used as a reference via researchers from information, arithmetic, finance, econometrics, and genomics. it may possibly even be used as a textbook via senior undergraduate and graduate scholars in those fields.

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Statistical Portfolio Estimation by Masanobu Taniguchi,Hiroshi Shiraishi,Junichi Hirukawa,Hiroko Kato Solvang,Takashi Yamashita

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