000			01599cam a2200265 a 4500
001			17438987
003			ISI Library, Kolkata
005			20150113132146.0
008			120823s2013 njua b 001 0 eng
020			_a9780470978702 (cloth)
040			_aISI Library
082	0	0	_a332.02855133 _223 _bP253
100	1		_aPfaff, Bernhard.
245	1	0	_aFinancial risk modelling and portfolio optimization with R / _cBernhard Pfaff.
260			_aChichester : _bJohn Wiley, _c2013.
300			_axvi, 356 p. : _bill. ; _c24 cm.
490			_aStatistics in practice
504			_aIncludes bibliographical references and index.
505			_aPart 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.
520			_aAccompanied 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.
650		0	_aFinancial risk _xMathematical models.
650		0	_aPortfolio management.
650		0	_aR (Computer program language).
942			_2ddc _cBK
999			_c25768 _d25768