Introduces the latest techniques advocated for measuring financial market risk and portfolio optimisation, 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 Optimisation with R:
Demonstrates techniques in modelling financial risks and applying portfolio optimisation techniques as well as recent advances in the field.
Introduces stylised facts, loss function and risk measures, conditional and unconditional modelling of risk; extreme value theory, generalised hyperbolic distribution, volatility modelling and concepts for capturing dependencies.
Explores portfolio risk concepts and optimisation 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 optimisation 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
- Statistics in Practice
- Title Page
- List of abbreviations
Part I: Motivation
- Chapter 1: Introduction
- Chapter 2: A brief course in R
- Chapter 3: Financial market data
- Chapter 4: Measuring risks
- Chapter 5: Modern portfolio theory
Part II: Risk Modelling
- Chapter 6: Suitable distributions for returns
- Chapter 7: Extreme value theory
- Chapter 8: Modelling volatility
- Chapter 9: Modelling dependence
Part III: Portfolio Optimization Approaches
- Chapter 10: Robust portfolio optimization
- Chapter 11: Diversification reconsidered
- Chapter 12: Risk-optimal portfolios
- Chapter 13: Tactical asset allocation
- Appendix A: Package overview
- Appendix B: Time series data
- Appendix C: Back-testing and reporting of portfolio strategies
- Appendix D: Technicalities
- Statistics in Practice
- Title: Financial Risk Modelling and Portfolio Optimization with R
- Release date: January 2013
- Publisher(s): Wiley
- ISBN: 9780470978702
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