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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.
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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.

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