Financial risk modelling and portfolio optimization with R:
Introduces the latest techniques advocated for measuring financial market risk and portfolio optimisation, 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 Optimisation with R: Demonstrates...
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| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Chichester, West Sussex, UK
John Wiley & Sons
2013
|
| Series: | Statistics in practice
|
| Subjects: | |
| Links: | https://learning.oreilly.com/library/view/-/9781118477120/?ar |
| Summary: | Introduces the latest techniques advocated for measuring financial market risk and portfolio optimisation, 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 Optimisation with R: Demonstrates techniques in modelling financial risks and applying portfolio optimisation techniques as well as recent advances in the field. Introduces stylised facts, loss function and risk measures, conditional and unconditional modelling of risk; extreme value theory, generalised hyperbolic distribution, volatility modelling and concepts for capturing dependencies. Explores portfolio risk concepts and optimisation with risk constraints. Enables the reader to replicate the results in the book using R code. Is accompanied by a supporting website featuring examples and case studies in R. Graduate and postgraduate students in finance, economics, risk management as well as practitioners in finance and portfolio optimisation will find this book beneficial. It also serves well as an accompanying text in computer-lab classes and is therefore suitable for self-study. |
| Item Description: | Includes bibliographical references and index. - Print version record and CIP data provided by publisher |
| Physical Description: | 1 Online-Ressource |
| ISBN: | 9781118477144 1118477146 9781118477137 1118477138 9781118477120 111847712X |
Staff View
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| spelling | Pfaff, Bernhard VerfasserIn aut Financial risk modelling and portfolio optimization with R Bernhard Pfaff Chichester, West Sussex, UK John Wiley & Sons 2013 1 Online-Ressource Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Statistics in practice Includes bibliographical references and index. - Print version record and CIP data provided by publisher Introduces the latest techniques advocated for measuring financial market risk and portfolio optimisation, 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 Optimisation with R: Demonstrates techniques in modelling financial risks and applying portfolio optimisation techniques as well as recent advances in the field. Introduces stylised facts, loss function and risk measures, conditional and unconditional modelling of risk; extreme value theory, generalised hyperbolic distribution, volatility modelling and concepts for capturing dependencies. Explores portfolio risk concepts and optimisation with risk constraints. Enables the reader to replicate the results in the book using R code. Is accompanied by a supporting website featuring examples and case studies in R. Graduate and postgraduate students in finance, economics, risk management as well as practitioners in finance and portfolio optimisation will find this book beneficial. It also serves well as an accompanying text in computer-lab classes and is therefore suitable for self-study. Financial risk Mathematical models Portfolio management R (Computer program language) Risque financier ; Modèles mathématiques Gestion de portefeuille R (Langage de programmation) BUSINESS & ECONOMICS ; Finance Portföljförvaltning R (programspråk) 9780470978702 Erscheint auch als Druck-Ausgabe 9780470978702 |
| spellingShingle | Pfaff, Bernhard Financial risk modelling and portfolio optimization with R Financial risk Mathematical models Portfolio management R (Computer program language) Risque financier ; Modèles mathématiques Gestion de portefeuille R (Langage de programmation) BUSINESS & ECONOMICS ; Finance Portföljförvaltning R (programspråk) |
| title | Financial risk modelling and portfolio optimization with R |
| title_auth | Financial risk modelling and portfolio optimization with R |
| title_exact_search | Financial risk modelling and portfolio optimization with R |
| title_full | Financial risk modelling and portfolio optimization with R Bernhard Pfaff |
| title_fullStr | Financial risk modelling and portfolio optimization with R Bernhard Pfaff |
| title_full_unstemmed | Financial risk modelling and portfolio optimization with R Bernhard Pfaff |
| title_short | Financial risk modelling and portfolio optimization with R |
| title_sort | financial risk modelling and portfolio optimization with r |
| topic | Financial risk Mathematical models Portfolio management R (Computer program language) Risque financier ; Modèles mathématiques Gestion de portefeuille R (Langage de programmation) BUSINESS & ECONOMICS ; Finance Portföljförvaltning R (programspråk) |
| topic_facet | Financial risk Mathematical models Portfolio management R (Computer program language) Risque financier ; Modèles mathématiques Gestion de portefeuille R (Langage de programmation) BUSINESS & ECONOMICS ; Finance Portföljförvaltning R (programspråk) |
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