000 02929cam a2200265 i 4500
001 137978
003 ISI Library, Kolkata
005 20171013162442.0
008 160602s2016 enk b 001 0 eng
020 _a9781119119661
040 _aISI Library
082 0 4 _a332.02855133
_223
_bP523
100 1 _aPfaff, Bernhard,
_eauthor
245 1 0 _aFinancial risk modelling and portfolio optimization with R /
_cBernhard Pfaff.
250 _aSecond edition.
260 _aChichester :
_bJohn Wiley,
_c©2016.
300 _axvii, 426 pages :
_billustrations ;
_c24 cm.
504 _aIncludes bibliographical references and index.
505 0 _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 -- 14. Probabilistic utility -- Appendices.
520 _aFinancial 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 _aFinancial risk
_xMathematical models.
650 0 _aPortfolio management.
650 0 _aR (Computer program language)
942 _2ddc
_cBK
999 _c424003
_d424003