Financial Risk Modelling and Portfolio Optimization with R

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Author(s): Bernhard Pfaff
Genre: Science
Original Publish Date: Nov 05, 2012
Product Number: EB00063712
Released: Aug 19, 2013
Business Term: Purchase
ISBN: #9781118477120
Publisher: Wiley
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Description

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. -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 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. 

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eBook
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Author(s): Bernhard Pfaff
Genre: Science
Product Number EB00686635
Released: Oct 20, 2016
Business Term: Purchase
Publisher: Wiley
ISBN: #9781119119685