Introduces the latest techniques advocated for measuringfinancial market risk and portfolio optimization, and provides aplethora of R code examples that enable the reader to replicate theresults featured throughout the book. Financial Risk Modelling and Portfolio Optimization withR: Demonstrates techniques in modelling financial risks andapplying portfolio optimization techniques as well as recentadvances in the field. Introduces stylized facts, loss function and risk measures,conditional and unconditional modelling of risk; extreme valuetheory, generalized hyperbolic distribution, volatility modellingand concepts for capturing dependencies. Explores portfolio risk concepts and optimization with riskconstraints. Enables the reader to replicate the results in the book using Rcode. Is accompanied by a supporting website featuring examples andcase studies in R. Graduate and postgraduate students in finance, economics, riskmanagement as well as practitioners in finance and portfoliooptimization will find this book beneficial. It also serves well asan accompanying text in computer-lab classes and is thereforesuitable for self-study.
Author : Bernhard Pfaff Release : 2012-11-05 Publisher : John Wiley & Sons ISBN : 111847712X File Size : 28.25 MB Format : PDF, ePub, Docs Download : 668 Read : 1271