Statistical Portfolio Estimation

<p>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.</p><p></p><p>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.</p>