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· 제목 : A Signal Processing Perspective on Financial Engineering (Paperback)
· 분류 : 외국도서 > 기술공학 > 기술공학 > 신호/신호처리
· ISBN : 9781680831184
· 쪽수 : 256쪽
· 출판일 : 2016-08-09
· 분류 : 외국도서 > 기술공학 > 기술공학 > 신호/신호처리
· ISBN : 9781680831184
· 쪽수 : 256쪽
· 출판일 : 2016-08-09
목차
- 1. Introduction Part I. Financial Modeling and Order Execution
- 2. Modeling of Financial Time Series
- 3. Modeling Fitting: Mean and Covariance Matrix Estimators
- 4. Order Execution Part II. Portfolio Optimization (Risk-Return Trade-off)
- 5. Portfolio Optimization with Known Parameters
- 6. Robust Portfolio Optimization
- 7. Multi-Portfolio Optimization
- 8. Index Tracking
- 9. Risk Parity Portfolio Optimization Part III. Statistical Arbitrage (Mean-Reversion)
- 10. Statistical Arbitrage Abbreviations and Notation
- Acknowledgments
- References
