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EB

EB

Boca Raton, Fla. : CRC Press, [2017]

1 online zdroj

ISBN 9781315117355 (e-book : PDF)

ISBN 9781351634137 (e-book: Mobi)

ISBN !9781466505605 (chyb.) (hardback)

Tištěná verze : ISBN 9781466505605

chapter 1 Introduction / Masanobu Taniguchi Hiroshi Shiraishi Junichi Hirukawa Hiroko Kato Solvang Takashi Yamashita -- chapter 2 Preliminaries / Masanobu Taniguchi Hiroshi Shiraishi Junichi Hirukawa Hiroko Kato Solvang Takashi Yamashita -- chapter 3 Portfolio Theory for Dependent Return Processes / Masanobu Taniguchi Hiroshi Shiraishi Junichi Hirukawa Hiroko Kato Solvang Takashi Yamashita -- chapter 4 Multiperiod Problem for Portfolio Theory / Masanobu Taniguchi Hiroshi Shiraishi Junichi Hirukawa Hiroko Kato Solvang Takashi Yamashita -- chapter 5 Portfolio Estimation Based on Rank Statistics / Masanobu Taniguchi Hiroshi Shiraishi Junichi Hirukawa Hiroko Kato Solvang Takashi Yamashita -- chapter 6 Portfolio Estimation Influenced by Non-Gaussian Innovations and Exogenous Variables / Masanobu Taniguchi Hiroshi Shiraishi Junichi Hirukawa Hiroko Kato Solvang Takashi Yamashita -- chapter 7 Numerical Examples / Masanobu Taniguchi Hiroshi Shiraishi Junichi Hirukawa Hiroko Kato Solvang Takashi Yamashita -- chapter 8 Theoretical Foundations and Technicalities / Masanobu Taniguchi Hiroshi Shiraishi Junichi Hirukawa Hiroko Kato Solvang Takashi Yamashita.

"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..

001478296

(OCoLC)993977182