Financial risk modelling and portfolio optimization with R /
xvi, 356 p. : ill. ; 24 cm. - (Statistics in practice ) Content notes : Part I Motivation:
1. Introduction--
2. A brief course in R--
3. Financial market data--
4. Measuring risks--
5. Modern portfolio theory--
Part II Risk Modelling
6. Suitable distributions for returns--
7. Extreme value theory--
8. Modelling volatility--
9. Modelling dependence--
Part III Portfolio Optimization Approaches
10. Robust portfolio optimization--
11. Diversification reconsidered--
12. Risk-optimal portfolios--
13. Tactical asset allocation--
Appendix A--
Appendix B--
Appendix C--
Appendix D--
Index.
Portfolio management. R (Computer program language).
