Statistical Portfolio Estimation

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

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• Economia estatística
• Probabilidade e Estatística
• Matemática aplicada

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