Financial Risk Modelling and Portfolio Optimization with R

Financial Risk Modelling and Portfolio Optimization with R Front Cover
1 Reviews
2013-01-22
374 pages

Book Description

Introduces the latest techniques advocated for measuring financial market and 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.
  • Is accompanied by a supporting website featuring examples and case studies in R.

Graduate and postgraduate students in finance, , 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 -lab classes and is therefore suitable for self-study.

Table of Contents

Part I MOTIVATION 1
1 Introduction 3
2 A brief course in R 6
3 Financial market data 26
4 Measuring risks 34
5 Modern portfolio theory 43
Part II RISK MODELLING 51
6 Suitable distributions for returns 53
7 Extreme value theory 84
8 Modelling volatility 112
9 Modelling dependence 127
Part III PORTFOLIO OPTIMIZATION APPROACHES 153
10 Robust portfolio optimization 155
11 Diversification reconsidered 189
12 Risk-optimal portfolios 217
13 Tactical asset allocation 255
Appendix A Package overview 314
Appendix B Time series data 324
Appendix C Back- and of portfolio strategies 338
Appendix D Technicalities 342

Book Details

  • Title: Financial Risk Modelling and Portfolio Optimization with R
  • Author:
  • Length: 374 pages
  • Edition: 1
  • Language: English
  • Publisher:
  • Publication Date: 2013-01-22
  • ISBN-10: 0470978708
  • ISBN-13: 9780470978702
File HostFree Download LinkFormatSize (MB)Upload Date
EU(multi) Click to downloadPDF4.107/01/2013
FilePi Click to downloadPDF4.110/16/2014
NitroFlare Click to downloadPDF4.112/08/2016
How to Download? Report Dead Links & Get a Copy

Leave a Reply