Ebook: Statistical Portfolio Estimation
- Tags: Finance -- Statistical methods, Finance -- Mathematical models, Portfolio management -- Mathematical models
- Series: A Chapman & Hall book
- Year: 2018
- Publisher: CRC Press
- City: Boca Raton
- Edition: 1
- Language: English
- pdf
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.
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