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

By: Material type: TextTextSeries: Statistics in practicePublication details: Chichester : John Wiley, 2013.Description: xvi, 356 p. : ill. ; 24 cmISBN:
  • 9780470978702 (cloth)
Subject(s): DDC classification:
  • 332.02855133 23 P253
Contents:
Part I Motivation: 1. Introduction-- 2. A brief course in R-- 3. Financial market data-- 4. Measuring risks-- 5. Modern portfolio theory-- Part II Risk Modelling 6. Suitable distributions for returns-- 7. Extreme value theory-- 8. Modelling volatility-- 9. Modelling dependence-- Part III Portfolio Optimization Approaches 10. Robust portfolio optimization-- 11. Diversification reconsidered-- 12. Risk-optimal portfolios-- 13. Tactical asset allocation-- Appendix A-- Appendix B-- Appendix C-- Appendix D-- Index.
Summary: Accompanied by a supporting website featuring examples and case studies in R, Financial Risk Modelling and Portfolio Optimization with R examines portfolio optimization from the perspective of computational finance and financial engineering.
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Holdings
Item type Current library Call number Status Date due Barcode Item holds
Books ISI Library, Kolkata 332.02855133 P523 (Browse shelf(Opens below)) Available C26268
Books ISI Library, Kolkata 332.02855133 P523 (Browse shelf(Opens below)) Available 134038
Total holds: 0

Includes bibliographical references and index.

Part I Motivation:
1. Introduction--
2. A brief course in R--
3. Financial market data--
4. Measuring risks--
5. Modern portfolio theory--

Part II Risk Modelling
6. Suitable distributions for returns--
7. Extreme value theory--
8. Modelling volatility--
9. Modelling dependence--

Part III Portfolio Optimization Approaches
10. Robust portfolio optimization--
11. Diversification reconsidered--
12. Risk-optimal portfolios--
13. Tactical asset allocation--

Appendix A--
Appendix B--
Appendix C--
Appendix D--
Index.

Accompanied by a supporting website featuring examples and case studies in R, Financial Risk Modelling and Portfolio Optimization with R examines portfolio optimization from the perspective of computational finance and financial engineering.

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