Statistical Portfolio Estimation
by Masanobu Taniguchi /
2017 / English / PDF
6.6 MB Download
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
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.
and R code
for all the examples are available via the book website.
