| Description |
1 online resource : text file, PDF |
| Contents |
Cover ; Half Title ; Title ; Copyright ; Contents; Preface ; Chapter 1. Introduction; Chapter 2. Preliminaries; 2.1 Stochastic Processes and Limit Theorems ; Chapter 3. Portfolio Theory for Dependent Return Processes; 3.1 Introduction to Portfolio Theory ; 3.1.1 Mean-Variance Portfolio ; 3.1.2 Capital Asset Pricing Model ; 3.1.3 Arbitrage Pricing Theory |
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3.1.4 Expected Utility Theory 3.1.5 Alternative Risk Measures ; 3.1.6 Copulas and Dependence ; 3.1.7 Bibliographic Notes ; 3.1.8 Appendix ; 3.2 Statistical Estimation for Portfolios ; 3.2.1 Traditional Mean-Variance Portfolio Estimators ; 3.2.2 Pessimistic Portfolio |
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3.2.3 Shrinkage Estimators 3.2.4 Bayesian Estimation ; 3.2.5 Factor Models ; 3.2.5.1 Static factor models ; 3.2.5.2 Dynamic factor models ; 3.2.6 High-Dimensional Problems ; 3.2.6.1 The case of m/n . y . (0, 1 ; 3.2.6.2 The case of m/n . y . (1,8 ; 3.2.7 Bibliographic Notes |
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3.2.8 Appendix 3.3 Simulation Results ; 3.3.1 Quasi-Maximum Likelihood Estimator ; 3.3.2 Efficient Frontier ; 3.3.3 Difference between the True Point and the Estimated Point ; 3.3.4 Inference of æP ; 3.3.5 Inference of Coefficient ; 3.3.6 Bibliographic Notes |
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Chapter 4. Multiperiod Problem for Portfolio Theory4.1 Discrete Time Problem ; 4.1.1 Optimal PortfolioWeights ; 4.1.2 Consumption Investment ; 4.1.3 Simulation Approach for VAR(1) model ; 4.1.4 Bibliographic Notes ; 4.2 Continuous Time Problem ; 4.2.1 Optimal Consumption and PortfolioWeights |
| 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 |
| Bibliography |
Includes bibliographical references and index |
| Subject |
Finance -- Statistical methods
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Finance -- Mathematical models.
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Portfolio management -- Mathematical models
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MATHEMATICS -- Probability & Statistics -- General.
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BUSINESS & ECONOMICS -- Finance.
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Finance -- Mathematical models
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Finance -- Statistical methods
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Portfolio management -- Mathematical models
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| Form |
Electronic book
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| Author |
Shiraishi, Hiroshi
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Hirukawa, Junichi
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Solvang, Hiroko Kato
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Yamashita, Takashi
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| ISBN |
9781315117355 |
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1315117355 |
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9781466505612 |
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1466505613 |
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