Statistical Portfolio Estimation

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

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.

• 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"