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

By: Publisher: Southern Gate, United Kingdom : Wiley, 2016Edition: Second editionDescription: xvii, 426 pages ; 24 cmContent type:
  • text
Media type:
  • unmediated
Carrier type:
  • volume
ISBN:
  • 9781119119661 (cloth)
Subject(s): DDC classification:
  • 332.02855133 .P523 2016
LOC classification:
  • HG106 .P484 2016
Summary: "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."--Amazon website
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Holdings
Item type Current library Collection Call number Status Date due Barcode
Print Materials Main Library General Circulation Non-fiction 332.02855133 .P523 2016 (Browse shelf(Opens below)) Available 0122545

Includes bibliographical references and index.

"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."--Amazon website

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