Statistical Portfolio Estimation

by Hiroko Kato Solvang, Hiroshi Shiraishi, Takashi Yamashita, et al.

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...

• Format: Paperback
• Language: English
• ISBN: 1032096497
• ISBN13: 9781032096490
• Release Date: June 2021
• Publisher: CRC Press
• Length: 388 Pages
• Weight: 1.48 lbs.
• Dimensions: 0.8" x 7.0" x 10.0"