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Financial risk modelling and portfolio optimization with R /
Accompanied by a supporting website featuring examples and case studies in R, this work examines portfolio optimisation from the perspective of computational finance and financial engineering.
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Chichester, West Sussex, United Kingdom :
Wiley,
2016.
|
| Edición: | Second edition. |
| Colección: | Online access with DDA: Askews (Economics)
|
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Pfaff, Bernhard, |e author. | |
| 245 | 1 | 0 | |a Financial risk modelling and portfolio optimization with R / |c Bernhard Pfaff. |
| 250 | |a Second edition. | ||
| 264 | 1 | |a Chichester, West Sussex, United Kingdom : |b Wiley, |c 2016. | |
| 300 | |a 1 online resource | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 505 | 0 | |a MOTIVATION. Introduction -- A brief course in R -- Financial market data -- Measuring risks -- Modern portfolio theory -- RISK MODELLING. Suitable distributions for returns -- Extreme value theory -- Modelling volatility -- Modelling dependence -- PORTFOLIO OPTIMIZATION APPROACHES. Robust portfolio optimization -- Diversification reconsidered -- Risk-optimal portfolios -- Tactical asset allocation -- Probabilistic utility -- Package overview -- Time series data -- Back-testing and reporting of portfolio strategies -- Technicalities. | |
| 504 | |a Includes bibliographical references and index. | ||
| 588 | 0 | |a Print version record. | |
| 520 | 8 | |a Accompanied by a supporting website featuring examples and case studies in R, this work examines portfolio optimisation from the perspective of computational finance and financial engineering. |b Financial Risk Modelling and Portfolio Optimization with R, 2nd Edition Bernhard Pfaff, Invesco Global Asset Allocation, Germany A must have text for risk modelling and portfolio optimization using R. This book 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. This edition has been extensively revised to include new topics on risk surfaces and probabilistic utility optimization as well as an extended introduction to R language. 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. Is accompanied by a supporting website featuring examples and case studies in R. Includes updated list of R packages for enabling the reader to replicate the results in the book. 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. | |
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Financial risk |x Mathematical models. | |
| 650 | 0 | |a Portfolio management. | |
| 650 | 0 | |a R (Computer program language) | |
| 650 | 6 | |a Risque financier |x Modèles mathématiques. | |
| 650 | 6 | |a Gestion de portefeuille. | |
| 650 | 6 | |a R (Langage de programmation) | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Finance. |2 bisacsh | |
| 650 | 7 | |a Portfolio management |2 fast | |
| 650 | 7 | |a R (Computer program language) |2 fast | |
| 758 | |i has work: |a Financial risk modelling and portfolio optimization with R (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGP6QWhgX79gGwG74KFywK |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |a Pfaff, Bernhard. |t Financial risk modelling and portfolio optimization with R. |b Second edition |z 9781119119661 |w (DLC) 2016016544 |w (OCoLC)951172580 |
| 830 | 0 | |a Online access with DDA: Askews (Economics) | |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=4648719 |z Texto completo |
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