Format:
1 Online-Ressource (xx, 426 Seiten).
Edition:
Second edition
ISBN:
9781119119685
,
978-1-119-11969-2
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. - Includes bibliographical references and index
Additional Edition:
Erscheint auch als Druck-Ausgabe ISBN 978-1-119-11966-1
Language:
English
Subjects:
Economics
Keywords:
Portfolio Selection
;
Portfoliomanagement
;
R
;
Risikomanagement
;
Portfoliomanagement
;
R
DOI:
10.1002/9781119119692
URL:
Volltext
(URL des Erstveröffentlichers)
Author information:
Pfaff, Bernhard
