MARC details
| 000 -LEADER |
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| fixed length control field |
02929cam a2200265 i 4500 |
| 001 - CONTROL NUMBER |
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| control field |
137978 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
ISI Library, Kolkata |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20171013162442.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
160602s2016 enk b 001 0 eng |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9781119119661 |
| 040 ## - CATALOGING SOURCE |
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| Original cataloging agency |
ISI Library |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Classification number |
332.02855133 |
| Edition number |
23 |
| Item number |
P523 |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Pfaff, Bernhard, |
| Relator term |
author |
| 245 10 - TITLE STATEMENT |
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| Title |
Financial risk modelling and portfolio optimization with R / |
| Statement of responsibility, etc |
Bernhard Pfaff. |
| 250 ## - EDITION STATEMENT |
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| Edition statement |
Second edition. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
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| Place of publication, distribution, etc |
Chichester : |
| Name of publisher, distributor, etc |
John Wiley, |
| Date of publication, distribution, etc |
©2016. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
xvii, 426 pages : |
| Other physical details |
illustrations ; |
| Dimensions |
24 cm. |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE |
|---|
| Bibliography, etc |
Includes bibliographical references and index. |
| 505 0# - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
Part I MOTIVATION. <br/>1. Introduction --<br/>2. A brief course in R --<br/>3. Financial market data --<br/>4. Measuring risks --<br/>5. Modern portfolio theory --<br/>Part II RISK MODELLING. <br/>6. Suitable distributions for returns --<br/>7. Extreme value theory --<br/>8. Modelling volatility --<br/>9. Modelling dependence --<br/>Part III PORTFOLIO OPTIMIZATION APPROACHES. <br/>10. Robust portfolio optimization --<br/>11. Diversification reconsidered --<br/>12. Risk-optimal portfolios --<br/>13. Tactical asset allocation --<br/>14. Probabilistic utility --<br/>Appendices. |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc |
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. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Financial risk |
| General subdivision |
Mathematical models. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Portfolio management. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
R (Computer program language) |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
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| Source of classification or shelving scheme |
Dewey Decimal Classification |
| Koha item type |
Books |
