Financial Risk Modelling and Portfolio Optimization with R

Financial Risk Modelling and Portfolio Optimization with R

Author(s): Bernhard Pfaff

Published Online: 30 OCT 2012

Print ISBN: 9780470978702

Online ISBN: 9781118477144

DOI: 10.1002/9781118477144

About 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.

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. 

Table of contents

    1. You have free access to this content
  1. Part I: Motivation

  2. Part II: Risk Modelling

  3. Part III: Portfolio Optimization Approaches

    1. You have free access to this content
    1. You have free access to this content
    1. You have free access to this content
    1. You have free access to this content
    1. You have free access to this content
    1. You have free access to this content

SEARCH