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Bogcover for Statistical Portfolio Estimation af Junichi Hirukawa, Hiroshi Shiraishi, Takashi Yamashita, Hiroko Kato Solvang, Masanobu Taniguchi, 9781032096490
Specifikationer
Sprog:
Engelsk
Sider:
388
ISBN-13:
9781032096490
Indbinding:
Paperback
ISBN-10:
1032096497
Udg. Dato:
30 jun 2021
Størrelse i cm:
25,4 x 17,8
Oplagsdato:
30 jun 2021
Paperback 2021
Format:

Bog beskrivelse

The composition of portfolios is one of the most fundamental and important methods in financial engineering, used to control the risk of investments. 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, non-stationary processes, and the book provides a framework for statistical inference using local asymptotic normality (LAN). The approach is generalized for portfolio estimation, so that many important problems can be covered.



This book can primarily be used as a reference by researchers from statistics, mathematics, finance, econometrics, and genomics. It can also be used as a textbook by senior undergraduate and graduate students in these fields.

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Specifikationer
Sprog:
Engelsk
Sider:
388
ISBN-13:
9781032096490
Indbinding:
Paperback
ISBN-10:
1032096497
Udg. Dato:
30 jun 2021
Størrelse i cm:
25,4 x 17,8
Oplagsdato:
30 jun 2021
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