Financial risk modelling and portfolio optimization with R / Bernhard Pfaff.
Material type:
TextSeries: Statistics in practicePublication details: Chichester : John Wiley, 2013.Description: xvi, 356 p. : ill. ; 24 cmISBN: - 9780470978702 (cloth)
- 332.02855133 23 P253
| 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 |
Browsing ISI Library, Kolkata shelves Close shelf browser (Hides shelf browser)
| 332.0285 Se519 Tools for computational finance | 332.0285513 C243 Numerical methods in finance with C++ / | 332.02855133 P523 Financial risk modelling and portfolio optimization with R / | 332.02855133 P523 Financial risk modelling and portfolio optimization with R / | 332.02855133 P523 Financial risk modelling and portfolio optimization with R / | 332.03 C759 Encyclopedia of quantitative finance | 332.03 C759 Encyclopedia of quantitative finance |
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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