Statistical portfolio estimation
Auteur :
Taniguchi, Masanobu / Shiraishi, Hiroshi / Hirukawa, Junichi / Solvang, Hiroko Kato / Yamashita, Takashi
Éditeur :
Taylor & Francis Inc
ISBN :
9781466505605
Date de publication :
21 août 2017
Dimensions :
25,4 x 17,8 cm
Poids :
884 g
Langue :
Anglais
Pays d'origine :
USA
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.