| Document Type
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BL
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| Record Number
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589286
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| Doc. No
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b418505
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| Main Entry
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Pfaff, Bernhard
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| Title & Author
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Financial risk modelling and portfolio optimization with R /\ Bernhard Pfaff
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| Edition Statement
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Second edition
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| Page. NO
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1 online resource
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| ISBN
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9781119119692
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: 1119119693
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9781119119661
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| Bibliographies/Indexes
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Includes bibliographical references and index
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| Contents
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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
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| Subject
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Financial risk-- Mathematical models
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| Subject
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Portfolio management
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| Subject
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R (Computer program language)
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| Dewey Classification
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332.0285/5133
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| LC Classification
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HG106.P484 2016eb
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| Added Entry
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Ohio Library and Information Network
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