1. Introduction

  1. Bernhard Pfaff

Published Online: 30 OCT 2012

DOI: 10.1002/9781118477144.ch1

Financial Risk Modelling and Portfolio Optimization with R

Financial Risk Modelling and Portfolio Optimization with R

How to Cite

Pfaff, B. (2012) Introduction, in Financial Risk Modelling and Portfolio Optimization with R, John Wiley & Sons, Ltd, Chichester, UK. doi: 10.1002/9781118477144.ch1

Author Information

  1. Invesco Global Strategies, Germany

Publication History

  1. Published Online: 30 OCT 2012
  2. Published Print: 28 DEC 2012

ISBN Information

Print ISBN: 9780470978702

Online ISBN: 9781118477144



  • financial market;
  • financial risk modelling;
  • portfolio optimization;
  • R language


This introductory chapter presents a brief on this book on financial risk modelling and portfolio optimization with R. It is necessary to devise and employ methods and techniques that are better able to cope with the empirically observed extreme fluctuations in financial markets. This book has chapters that serve as a motivation for applying techniques beyond those commonly encountered in assessing financial market risks and/or portfolio optimization. Alternatives to normal distribution assumption for modelling and measuring financial market risks are presented. A brief course of R language is also provided. The book enables the reader to go beyond the ordinarily encountered standard tools and techniques and provide some guidance on when to choose among them. Each quantitative model has its strengths and drawbacks and is still subjective whether the former outweigh the latter, when it comes to employing the model in managing financial market risks and/or allocating wealth at hand.

Controlled Vocabulary Terms

finance modeling; financial crisis 2007–2009; risk