Financial RiskFinancial Risk Modelling and Portfolio Optimization with R (Statistics in Practice) Modelling and Portfolio Optimization with R (Statistics in Practice).pdf

Financial Risk Modelling and Portfolio Optimization with R (Statistics in Practice)



English | 2013 | ISBN: 0470978708 | ISBN-13: 9780470978702 | 374 pages | PDF | 5,3 MB

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.


Financial Risk Modelling and Portfolio Optimization with R:

- Demonstrates techniques in modelling financial risks and applying portfolio optimization techniques as well as recent advances in the field.
- Introduces stylized facts, loss function and risk measures, conditional and unconditional modelling of risk; extreme value theory, generalized hyperbolic distribution, volatility modelling and concepts for capturing dependencies.
- Explores portfolio risk concepts and optimization with risk constraints.
- Enables the reader to replicate the results in the book using R code.
- Is accompanied by a supporting website featuring examples and case studies in R.

Graduate and postgraduate students in finance, economics, risk management as well as practitioners in finance and portfolio