UID:
almahu_9948198599802882
Format:
1 online resource
Edition:
Second edition.
ISBN:
9781119119692
,
1119119693
,
9781119119685
,
1119119685
,
9781119119678
,
1119119677
,
1119119669
,
9781119119661
Series Statement:
Online access with DDA: Askews (Economics)
Content:
Accompanied by a supporting website featuring examples and case studies in R, this work examines portfolio optimisation from the perspective of computational finance and financial engineering.
Note:
MOTIVATION. Introduction -- A brief course in R -- Financial market data -- Measuring risks -- Modern portfolio theory -- RISK MODELLING. Suitable distributions for returns -- Extreme value theory -- Modelling volatility -- Modelling dependence -- PORTFOLIO OPTIMIZATION APPROACHES. Robust portfolio optimization -- Diversification reconsidered -- Risk-optimal portfolios -- Tactical asset allocation -- Probabilistic utility -- Package overview -- Time series data -- Back-testing and reporting of portfolio strategies -- Technicalities.
Additional Edition:
Print version: Pfaff, Bernhard. Financial risk modelling and portfolio optimization with R. ISBN 9781119119661
Language:
English
Keywords:
Electronic books.
DOI:
10.1002/9781119119692
URL:
https://onlinelibrary.wiley.com/doi/book/10.1002/9781119119692
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