1 option
Financial risk modelling and portfolio optimization with R / Bernhard Pfaff.
- Format:
- Book
- Author/Creator:
- Pfaff, Bernhard.
- Series:
- Statistics in Practice
- Statistics in practice
- Language:
- English
- Subjects (All):
- Financial risk--Mathematical models.
- Financial risk.
- Portfolio management.
- R (Computer program language).
- Physical Description:
- 1 online resource (376 p.)
- Edition:
- 1st edition
- Place of Publication:
- Hoboken, New Jersey : Wiley, [2013]
- System Details:
- text file
- Summary:
- 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
- Contents:
- part I. Motivation
- part II. Risk modelling
- part III. Portfolio optimization approaches.
- Notes:
- Description based upon print version of record.
- Includes bibliographical references and index.
- Description based on print version record.
- ISBN:
- 9781118477144
- 1118477146
- 9781118477120
- 111847712X
- 9781299190276
- 1299190278
- 9781118477137
- 1118477138
- OCLC:
- 808628433
The Penn Libraries is committed to describing library materials using current, accurate, and responsible language. If you discover outdated or inaccurate language, please fill out this feedback form to report it and suggest alternative language.