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Financial risk modelling and portfolio optimization with R / Bernhard Pfaff.

By: Material type: TextTextEdition: Second editionDescription: xvii, 426 pages ; 24 cmISBN:
  • 9781119119661 (cloth)
Subject(s): LOC classification:
  • HG106 .P484 2016
Contents:
A brief in R -- Financial market data -- Measuring risks -- Modern portfolio theory -- Suitable distributions for returns -- Extreme value theory -- Modelling volatility -- Modelling dependence -- Robust portfolio optimization -- Diversification reconsidered -- Risk- optimal portfolios -- Tactical asset allocation -- Probabilistic utility.
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Holdings
Item type Current library Collection Call number Copy number Status Date due Barcode
Books Books Zetech Library - Mang'u General Stacks Non-fiction HG106 .P53 2016 (Browse shelf(Opens below)) C.1 Available Z009577

Includes bibliographical references and index.

A brief in R -- Financial market data -- Measuring risks -- Modern portfolio theory -- Suitable distributions for returns -- Extreme value theory -- Modelling volatility -- Modelling dependence -- Robust portfolio optimization -- Diversification reconsidered -- Risk- optimal portfolios -- Tactical asset allocation -- Probabilistic utility.

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