Statistical Portfolio Estimation /

"This book presents an overview of the theory and applications of statistical portfolio estimation. The approach is necessarily mathematical, as the financial data involved is non-Gaussian and non-stationary. The book includes the required background in time series analysis and portfolio theory...

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Bibliographic Details
Main Author:	Taniguchi, Masanobu (Author)
Corporate Author:	Taylor & Francis
Other Authors:	Shiraishi, Hiroshi, Hirukawa, Junichi, Solvang, Hiroko Kato, Yamashita, Takashi
Format:	eBook
Language:	English
Published:	Boca Raton, FL : CRC Press, 2017.
Edition:	First edition.
Subjects:	Finance > Statistical methods. Finance > Mathematical models. Portfolio management > Mathematical models. Finances > Méthodes statistiques. Finances > Modèles mathématiques. Gestion de portefeuille > Modèles mathématiques. MATHEMATICS > Probability & Statistics > General. BUSINESS & ECONOMICS > Finance. Finance > Mathematical models Finance > Statistical methods Portfolio management > Mathematical models Electronic books.
Online Access:	Connect to the full text of this electronic book

Description
Summary:	"This book presents an overview of the theory and applications of statistical portfolio estimation. The approach is necessarily mathematical, as the financial data involved is non-Gaussian and non-stationary. The book includes the required background in time series analysis and portfolio theory. It features applications to insurance and finance, and some interesting applications to biomedical and genetic data. MATLAB® and R code for all the examples are available via the book website."--Provided by publisher.
Physical Description:	1 online resource : text file, PDF
Bibliography:	Includes bibliographical references and index.
ISBN:	9781315117355 1315117355 9781466505612 1466505613