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

Statistical Portfolio Estimation (eBook, ePUB)

• Format: ePub

Produktbeschreibung

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, nonstationary processes, and the book provides a framework for statistical inference using local asymptotic normality.

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Produktdetails

• Verlag: Taylor & Francis
• Seitenzahl: 388
• Erscheinungstermin: 1. September 2017
• Englisch
• ISBN-13: 9781351643627
• Artikelnr.: 49258746

Autorenporträt

Masanobu Taniguchi is a research professor in the Department of Applied Mathematics at Waseda University, Japan.

Hiroshi Shiraishi is a lecturer in the Laboratory of Mathematics, Jikei University School of Medicine, Japan.

Junichi Hirukawa is an associate professor in the Faculty of Science at Niigata University, Japan.

Hiroko Solvang Kato is a researcher and project leader in the Department of Genetics, Institute for Cancer Research, Oslo University Hospital, Norway.

Inhaltsangabe

Introduction
Preliminaries
Portfolio Theory for Dependent Return Processes
Multiperiod Problem for Portfolio Theory
Portfolio Estimation based on Rank Statistics
Portfolio Estimation Influence by Non-Gaussian Innovatin and Exogenous
Variables
Numerical Examples
Theoretical Foundations and Technicalities