Financial risk modelling and portfolio optimization with R /
xvii, 426 pages : illustrations ; 24 cm. 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 --
14. Probabilistic utility --
Appendices. Portfolio management. R (Computer program language)
