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Financial risk modelling and portfolio optimization with R /

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Accompanied by a supporting website featuring examples and case studies in R, this work examines portfolio optimisation from the perspective of computational finance and financial engineering.

Bibliographic Details
Main Author: Pfaff, Bernhard (Author)
Format: eBook
Language:English
Published: Chichester, West Sussex, United Kingdom : Wiley, 2016.
Edition:Second edition.
Series:Online access with DDA: Askews (Economics)
Subjects:
Financial risk > Mathematical models.
Portfolio management.
R (Computer program language)
Online Access:Connect to the full text of this electronic book
Table of Contents:
  • MOTIVATION. Introduction
  • A brief course in R
  • Financial market data
  • Measuring risks
  • Modern portfolio theory
  • RISK MODELLING. Suitable distributions for returns
  • Extreme value theory
  • Modelling volatility
  • Modelling dependence
  • PORTFOLIO OPTIMIZATION APPROACHES. Robust portfolio optimization
  • Diversification reconsidered
  • Risk-optimal portfolios
  • Tactical asset allocation
  • Probabilistic utility
  • Package overview
  • Time series data
  • Back-testing and reporting of portfolio strategies
  • Technicalities.