Coverart for item
The Resource Financial risk modelling and portfolio optimization with R, Bernhard Pfaff

Financial risk modelling and portfolio optimization with R, Bernhard Pfaff

Label
Financial risk modelling and portfolio optimization with R
Title
Financial risk modelling and portfolio optimization with R
Statement of responsibility
Bernhard Pfaff
Creator
Subject
Language
eng
Summary
Financial Risk Modelling and Portfolio Optimization with R, 2nd Edition Bernhard Pfaff, Invesco Global Asset Allocation, Germany A must have text for risk modelling and portfolio optimization using R. 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. 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. Is accompanied by a supporting website featuring examples and case studies in R. Includes updated list of R packages for enabling the reader to replicate the results in the book. Graduate and postgraduate students in finance, economics, risk management as well as practitioners in finance and portfolio optimization will find this book beneficial. It also serves well as an accompanying text in computer-lab classes and is therefore suitable for self-study.--
Assigning source
Provided by Publisher
Cataloging source
DLC
http://library.link/vocab/creatorName
Pfaff, Bernhard
Index
index present
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/subjectName
  • Financial risk
  • Portfolio management
  • R (Computer program language)
Label
Financial risk modelling and portfolio optimization with R, Bernhard Pfaff
Instantiates
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Control code
FIEb17205281
Dimensions
24 cm.
Extent
xvi, 356 pages
Isbn
9780470978702
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)801440728
Label
Financial risk modelling and portfolio optimization with R, Bernhard Pfaff
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Control code
FIEb17205281
Dimensions
24 cm.
Extent
xvi, 356 pages
Isbn
9780470978702
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)801440728

Library Locations

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      43.803074 11.283055
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