Instant download Financial Risk Modelling and Portfolio Optimization with R pdf, docx, kindle format all chapters after payment.
Product details:
- ISBN 10: 1119119685
- ISBN 13: 9781119119685
- Author: Bernhard Pfaff
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.
Table contents:
Part I: Motivation
Chapter 1: Introduction
Chapter 2: A brief course in R
Chapter 3: Financial market data
Chapter 4: Measuring risks
Chapter 5: Modern portfolio theory
Part II: Risk modelling
Chapter 6: Suitable distributions for returns
Chapter 7: Extreme value theory
Chapter 8: Modelling volatility
Chapter 9: Modelling dependence
Part III: Portfolio optimization approaches
Chapter 10: Robust portfolio optimization
Chapter 11: Diversification reconsidered
Chapter 12: Risk-optimal portfolios
Chapter 13: Tactical asset allocation
Chapter 14: Probabilistic utility
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