Financial Risk Modelling and Portfolio Optimization with R

✍ Scribed by Bernhard Pfaff

• Publisher: Wiley
• Year: 2013
• Tongue: English
• Leaves: 371
• Series: Statistics in Practice
• Edition: 1
• Category: Library

✦ Synopsis

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, generalized hyperbolic distribution, volatility modelling and concepts for capturing dependencies.Explores portfolio risk concepts and optimization with risk constraints.Enables the reader to replicate the results in the book using R code.Is accompanied by a supporting website featuring examples and case studies in R.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. 

✦ Table of Contents

Cover......Page 1
1 Introduction......Page 18
2 A brief course in R......Page 21
3 Financial market data......Page 41
4 Measuring risks......Page 49
5 Modern portfolio theory......Page 58
6 Suitable distributions
for returns......Page 67
7 Extreme value theory......Page 98
8 Modelling volatility......Page 126
9 Modelling dependence......Page 141
10 Robust portfolio optimization......Page 168
11 Diversification reconsidered......Page 202
12 Risk-optimal portfolios......Page 230
13 Tactical asset allocation......Page 268
Appendix A. Package overview......Page 327
Appendix B. Time series data......Page 337
Appendix C. Back-testing and reporting of
portfolio strategies......Page 351
Appendix D. Technicalities......Page 355
Index......Page 356
Statistics in Practice......Page 370