Financial Risk Modelling and Portfolio Optimization with R (Statistics in Practice)

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9780470978702: Financial Risk Modelling and Portfolio Optimization with R (Statistics in Practice)
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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.

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Descripción John Wiley and Sons Ltd, United States, 2013. Hardback. Estado de conservación: New. 230 x 154 mm. Language: English . Brand New Book. 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. Nº de ref. de la librería KNV9780470978702

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Descripción Estado de conservación: New. New. US edition. Perfect condition. Ship by express service to USA, Canada, Australia, France, Italy, UK, Germany and Netherland. Customer satisfaction our priority. Nº de ref. de la librería ABE-FEB-38312

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ISBN 10: 0470978708 ISBN 13: 9780470978702
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Descripción John Wiley and Sons Ltd, United States, 2013. Hardback. Estado de conservación: New. 230 x 154 mm. Language: English . Brand New Book. 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. Nº de ref. de la librería KNV9780470978702

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Descripción Wiley, 2013. Hardcover. Estado de conservación: New. book. Nº de ref. de la librería 0470978708

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Descripción Estado de conservación: New. Publisher/Verlag: Wiley & Sons | 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. | Preface xiList of abbreviations xiiiPart I MOTIVATION 11 Introduction 32 A brief course in R 62.1 Origin and development 62.2 Getting help 72.3 Working with R 102.4 Classes, methods and functions 122.5 The accompanying package FRAPO 203 Financial market data 263.1 Stylized facts on financial market returns 263.2 Implications for risk models 324 Measuring risks 344.1 Introduction 344.2 Synopsis of risk measures 344.3 Portfolio risk concepts 395 Modern portfolio theory 435.1 Introduction 435.2 Markowitz portfolios 435.3 Empirical mean-variance portfolios 47Part II RISK MODELLING 516 Suitable distributions for returns 536.1 Preliminaries 536.2 The generalized hyperbolic distribution 536.3 The generalized lambda distribution 566.4 Synopsis of R packages for the GHD 626.5 Synopsis of R packages for GLD 676.6 Applications of the GHD to risk modelling 696.7 Applications of the GLD to risk modelling and data analysis 787 Extreme value theory 847.1 Preliminaries 847.2 Extreme value methods and models 857.3 Synopsis of R packages 897.4 Empirical applications of EVT 988 Modelling volatility 1128.1 Preliminaries 1128.2 The class of ARCH models 1128.3 Synopsis of R packages 1168.4 Empirical application of volatility models 1239 Modelling dependence 1279.1 Overview 1279.2 Correlation, dependence and distributions 1279.3 Copulae 1309.4 Synopsis of R packages 1369.5 Empirical applications of copulae 142Part III PORTFOLIO OPTIMIZATION APPROACHES 15310 Robust portfolio optimization 15510.1 Overview 15510.2 Robust statistics 15610.3 Robust optimization 16010.4 Synopsis of R packages 16610.5 Empirical applications 17111 Diversification reconsidered 18911.1 Introduction 18911.2 Most diversified portfolio 19011.3 Risk contribution constrained portfolios 19211.4 Optimal tail-dependent portfolios 19511.5 Synopsis of R packages 19711.6 Empirical applications 20112 Risk-optimal portfolios 21712.1 Overview 21712.2 Mean-VaR portfolios 21812.3 Optimal CVaR portfolios 22312.4 Optimal draw-down portfolios 22712.5 Synopsis of R packages 22912.6 Empirical applications 23813 Tactical asset allocation 25513.1 Overview 25513.2 Survey of selected time series models 25613.3 Black-Litterman approach 27013.4 Copula opinion and entropy pooling 27313.5 Synopsis of R packages 27613.6 Empirical applications 288Appendix A Package overview 314A.1 Packages in alphabetical order 314A.2 Packages ordered by topic 317Appendix B Time series data 324B.1 Date-time classes 324B.2 The ts class in the base package stats 327B.3 Irregular-spaced time series 328B.4 The package timeSeries 330B.5 The package zoo 332B.6 The packages tframe and xts 334Appendix C Back-testing and reporting of portfolio strategies 338C.1 R packages for back-testing 338C.2 R facilities for reporting 339C.3 Interfacing databases 339Appendix D. Nº de ref. de la librería K9780470978702

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