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.
| ISBN: | 9781466505605 |
| Publication date: | 21st August 2017 |
| Author: | Masanobu (Waseda University, Shinjuku-Ku, Tokyo, Japan) Taniguchi, Hiroshi Shiraishi, Junichi (Niigata University, Ja Hirukawa |
| Publisher: | CRC Press Inc an imprint of Taylor & Francis Inc |
| Format: | Hardback |
| Pagination: | 378 pages |
| Genres: |
Biology, life sciences Applied mathematics Probability and statistics Econometrics and economic statistics |