Statistical Portfolio Estimation
portes grátis
Statistical Portfolio Estimation
Taniguchi, Masanobu; Solvang, Hiroko Kato; Shiraishi, Hiroshi; Yamashita, Takashi; Hirukawa, Junichi
Taylor & Francis Ltd
06/2021
388
Mole
Inglês
9781032096490
15 a 20 dias
720
Descrição não disponível.
Introduction
Preliminaries
Portfolio Theory for Dependent Return Processes
Multiperiod Problem for Portfolio Theory
Portfolio Estimation based on Rank Statistics
Portfolio Estimation Influence by Non-Gaussian Innovatin and Exogenous Variables
Numerical Examples
Theoretical Foundations and Technicalities
Preliminaries
Portfolio Theory for Dependent Return Processes
Multiperiod Problem for Portfolio Theory
Portfolio Estimation based on Rank Statistics
Portfolio Estimation Influence by Non-Gaussian Innovatin and Exogenous Variables
Numerical Examples
Theoretical Foundations and Technicalities
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
Estimated Portfolio Weights;Stationary GARCH;spectral;Portfolio Weights;density;DNA Sequence Data;matrix;Spectral Density Matrix;optimal;Arch Model;estimators;Generalize AIC;stochastic;Arbitrage Pricing Theory;process;AR Residual;martingale;Local Martingale;difference;Multivariate Time Series;sequence;Portfolio Estimation;Hiroshi Shiraishi;Generalized Autoregressive Conditional Heteroscedastic Model;Junichi Hirukawa;Optimal Portfolio Weights;Hiroko Kato Solvang;ARMA Model;Takashi Yamashita;Rank Order Statistics;Modern Portfolio Theory;Ranked Gene Lists;CVaR;Optimal Portfolio;Efficient Frontier;Up;Spectral Envelope;EBV Virus;Portfolio Variance
Introduction
Preliminaries
Portfolio Theory for Dependent Return Processes
Multiperiod Problem for Portfolio Theory
Portfolio Estimation based on Rank Statistics
Portfolio Estimation Influence by Non-Gaussian Innovatin and Exogenous Variables
Numerical Examples
Theoretical Foundations and Technicalities
Preliminaries
Portfolio Theory for Dependent Return Processes
Multiperiod Problem for Portfolio Theory
Portfolio Estimation based on Rank Statistics
Portfolio Estimation Influence by Non-Gaussian Innovatin and Exogenous Variables
Numerical Examples
Theoretical Foundations and Technicalities
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
Estimated Portfolio Weights;Stationary GARCH;spectral;Portfolio Weights;density;DNA Sequence Data;matrix;Spectral Density Matrix;optimal;Arch Model;estimators;Generalize AIC;stochastic;Arbitrage Pricing Theory;process;AR Residual;martingale;Local Martingale;difference;Multivariate Time Series;sequence;Portfolio Estimation;Hiroshi Shiraishi;Generalized Autoregressive Conditional Heteroscedastic Model;Junichi Hirukawa;Optimal Portfolio Weights;Hiroko Kato Solvang;ARMA Model;Takashi Yamashita;Rank Order Statistics;Modern Portfolio Theory;Ranked Gene Lists;CVaR;Optimal Portfolio;Efficient Frontier;Up;Spectral Envelope;EBV Virus;Portfolio Variance