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Financial Risk Modelling and Portfolio Optimization with R - Couverture rigide

Livre 38 sur 49: Statistics in Practice

Pfaff, Bernhard

 
9781119119661: Financial Risk Modelling and Portfolio Optimization with R
Couverture rigide
ISBN 10 : 1119119669 ISBN 13 : 9781119119661
Editeur : Wiley, 2016

Synopsis

A must have text for risk modelling and portfolio optimization using R.

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de l'auteur

Bernhard Eugen Heinrich Pfaff, Director, Invesco Asset Management Deutschland GmbH, Germany.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Wiley
Date d'édition
2016
Langue
anglais
ISBN 10 
1119119669
ISBN 13 
9781119119661
Reliure
Relié
Numéro d'édition
2
Nombre de pages
446
Coordonnées du fabricant
non disponible
Personne responsable
non disponible