Cover -- Half Title -- Title -- Copyright -- Contents -- Preface -- Chapter 1. Introduction -- Chapter 2. Preliminaries -- 2.1 Stochastic Processes and Limit Theorems -- Chapter 3. Portfolio Theory for Dependent Return Processes -- 3.1 Introduction to Portfolio Theory -- 3.1.1 Mean-Variance Portfolio -- 3.1.2 Capital Asset Pricing Model -- 3.1.3 Arbitrage Pricing Theory -- 3.1.4 Expected Utility Theory -- 3.1.5 Alternative Risk Measures -- 3.1.6 Copulas and Dependence -- 3.1.7 Bibliographic Notes -- 3.1.8 Appendix -- 3.2 Statistical Estimation for Portfolios -- 3.2.1 Traditional Mean-Variance Portfolio Estimators -- 3.2.2 Pessimistic Portfolio -- 3.2.3 Shrinkage Estimators -- 3.2.4 Bayesian Estimation -- 3.2.5 Factor Models -- 3.2.5.1 Static factor models -- 3.2.5.2 Dynamic factor models -- 3.2.6 High-Dimensional Problems -- 3.2.6.1 The case of m/n . y . (0, 1 -- 3.2.6.2 The case of m/n . y . (1,8 -- 3.2.7 Bibliographic Notes -- 3.2.8 Appendix -- 3.3 Simulation Results -- 3.3.1 Quasi-Maximum Likelihood Estimator -- 3.3.2 Efficient Frontier -- 3.3.3 Difference between the True Point and the Estimated Point -- 3.3.4 Inference of ?P -- 3.3.5 Inference of Coefficient -- 3.3.6 Bibliographic Notes -- Chapter 4. Multiperiod Problem for Portfolio Theory -- 4.1 Discrete Time Problem -- 4.1.1 Optimal PortfolioWeights -- 4.1.2 Consumption Investment -- 4.1.3 Simulation Approach for VAR(1) model -- 4.1.4 Bibliographic Notes -- 4.2 Continuous Time Problem -- 4.2.1 Optimal Consumption and PortfolioWeights -- 4.2.2 Estimation -- 4.2.2.1 Generalized method of moments (GMM -- 4.2.2.2 Threshold estimation method -- 4.2.3 Bibliographic Notes -- 4.3 Universal Portfolio -- 4.3.1 ?-Weighted Universal Portfolios -- 4.3.2 Universal Portfolios with Side Information -- 4.3.3 Successive Constant Rebalanced Portfolios