TY  - BOOK
AU  - Pfaff,Bernhard
TI  - Financial risk modelling and portfolio optimization with R
T2  - Statistics in practice
SN  - 9780470978702 (cloth)
U1  - 332.02855133 23
PY  - 2013///
CY  - Chichester
PB  - John Wiley
KW  - Financial risk
KW  - Mathematical models
KW  - Portfolio management
KW  - R (Computer program language)
N1  - Includes bibliographical references and index; 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

N2  - Accompanied by a supporting website featuring examples and case studies in R, Financial Risk Modelling and Portfolio Optimization with R examines portfolio optimization from the perspective of computational finance and financial engineering
ER  -