Financial risk modelling and portfolio optimization with R /
Pfaff, Bernhard,
Financial risk modelling and portfolio optimization with R / Bernhard Pfaff. - Second edition. - xvii, 426 pages ; 24 cm
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.
9781119119661 (cloth)
2016016544
Financial risk--Mathematical models.
Portfolio management.
R (Computer program language)
HG106 / .P484 2016
Financial risk modelling and portfolio optimization with R / Bernhard Pfaff. - Second edition. - xvii, 426 pages ; 24 cm
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.
9781119119661 (cloth)
2016016544
Financial risk--Mathematical models.
Portfolio management.
R (Computer program language)
HG106 / .P484 2016