Financial Risk Modelling and Portfolio Optimization with R

Financial Risk Modelling and Portfolio Optimization with R Front Cover
1 Reviews
374 pages

Book Description

Introduces the latest techniques advocated for measuring financial market risk and portfolio optimization, and provides a plethora of R examples that enable the reader to replicate the results featured throughout the book.

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 , generalized hyperbolic , volatility modelling and concepts for capturing dependencies.
  • Explores portfolio risk concepts and optimization with risk constraints.
  • Enables the reader to replicate the results in the book using R code.
  • Is accompanied by a supporting website featuring examples and case studies in R.

Graduate and postgraduate students in , economics, as well as practitioners in and portfolio optimization will find this book beneficial. It also serves well as an accompanying text in -lab classes and is therefore suitable for self-study.

Table of Contents

1 Introduction 3
2 A brief course in R 6
3 Financial market data 26
4 Measuring risks 34
5 Modern portfolio theory 43
6 Suitable distributions for returns 53
7 Extreme value theory 84
8 Modelling volatility 112
9 Modelling dependence 127
10 Robust portfolio optimization 155
11 Diversification reconsidered 189
12 Risk-optimal portfolios 217
13 Tactical asset allocation 255
Appendix A Package overview 314
Appendix B Time series data 324
Appendix C Back-testing and reporting of portfolio strategies 338
Appendix D Technicalities 342

Book Details

  • Title: Financial Risk Modelling and Portfolio Optimization with R
  • Author:
  • Length: 374 pages
  • Edition: 1
  • Language: English
  • Publisher:
  • Publication Date: 2013-01-22
  • ISBN-10: 0470978708
  • ISBN-13: 9780470978702

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