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Statistical Portfolio Estimation book cover

1st Edition

Statistical Portfolio Estimation

By Masanobu Taniguchi, Hiroshi Shiraishi, Junichi Hirukawa, Hiroko Kato Solvang, Takashi Yamashita Copyright 2018
388 Pages 66 B/W Illustrations
by Chapman & Hall

388 Pages 66 B/W Illustrations
by Chapman & Hall

388 Pages 66 B/W Illustrations
by Chapman & Hall
Also available as eBook on:
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... Read more

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



 

Biography

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.

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