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- Autorius: Masanobu Taniguchi, Hiroshi Shiraishi, Junichi Hirukawa, Hiroko Kato Solvang, Takashi Yamashita
- Leidėjas: Taylor & Francis Ltd.
- Metai: 2017
- Puslapiai: 388
- ISBN: 9781351643627
- ISBN-10: 1351643622
- ISBN-13: 9781351643627
- Formatas: ACSM ?
- Kalba: Anglų
Statistical Portfolio Estimation (el. knyga) (skaityta knyga) | knygos.lt
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Aprašymas
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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Mažiausia kaina per 30 dienų: 138,89 €
Mažiausia kaina užfiksuota: 2026-06-16 00:42:25
- Autorius: Masanobu Taniguchi, Hiroshi Shiraishi, Junichi Hirukawa, Hiroko Kato Solvang, Takashi Yamashita
- Leidėjas: Taylor & Francis Ltd.
- Metai: 2017
- Puslapiai: 388
- ISBN: 9781351643627
- ISBN-10: 1351643622
- ISBN-13: 9781351643627
- Formatas: ACSM ?
- Kalba: Anglų
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.
Atsiliepimai