Indian Statistical Institute Library, Kolkata

Your cart is empty.

Online Public Access Catalogue (OPAC)
Library,Documentation and Information Science Division

“A research journal serves that narrow

borderland which separates the known from the unknown”

-P.C.Mahalanobis


Normal view MARC view ISBD view

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

By: Pfaff, Bernhard.
Material type: TextTextSeries: Statistics in practice.Publisher: Chichester : John Wiley, 2013Description: xvi, 356 p. : ill. ; 24 cm.ISBN: 9780470978702 (cloth).Subject(s): Financial risk -- Mathematical models | Portfolio management | R (Computer program language)DDC classification: 332.02855133
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.
Tags from this library: No tags from this library for this title. Log in to add tags.
Item type Current location Call number Status Date due Barcode Item holds
Books Books ISI Library, Kolkata
 
332.02855133 P523 (Browse shelf) Available C26268
Books Books ISI Library, Kolkata
 
332.02855133 P523 (Browse shelf) 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.

There are no comments for this item.

Log in to your account to post a comment.
Library, Documentation and Information Science Division, Indian Statistical Institute, 203 B T Road, Kolkata 700108, INDIA
Phone no. 91-33-2575 2100, Fax no. 91-33-2578 1412, ksatpathy@isical.ac.in


Visitor Counter

IMPLEMENTED BY- AVIOR TECHNOLOGIES