Statistical Portfolio Estimation

ISBN-13: 9781466505605 / Angielski / Twarda / 2017 / 378 str.

Masanobu Taniguchi; Hiroshi Shiraishi; Junichi Hirukawa

Opis

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.