Financial Risk Modelling and Portfolio Optimization with R
- 7h 2m
- Bernhard Pfaff
- John Wiley & Sons (UK)
- 2013
Introduces the latest techniques advocated for measuring financial market risk and portfolio optimization, and provides a plethora of R code examples that enable the reader to replicate the results featured throughout the book.
Financial Risk Modelling and Portfolio Optimization with R:
- Demonstrates techniques in modelling financial risks and applying portfolio optimization techniques as well as recent advances in the field.
- Introduces stylized facts, loss function and risk measures, conditional and unconditional modelling of risk; extreme value theory, generalized hyperbolic distribution, volatility modelling and concepts for capturing dependencies.
- Explores portfolio risk concepts and optimization with risk constraints.
- Enables the reader to replicate the results in the book using R code.
Graduate and postgraduate students in finance, economics, risk management as well as practitioners in finance and portfolio optimization will find this book beneficial. It also serves well as an accompanying text in computer-lab classes and is therefore suitable for self-study.
In this Book
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List of Abbreviations
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Introduction
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A Brief Course in R
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Financial Market Data
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Measuring Risks
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Modern Portfolio Theory
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Suitable Distributions for Returns
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Extreme Value Theory
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Modelling Volatility
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Modelling Dependence
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Robust Portfolio Optimization
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Diversification Reconsidered
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Risk-Optimal Portfolios
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Tactical Asset Allocation
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Statistics in Practice
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