Financial Risk Modelling and Portfolio Optimization with R

出版者:John Wiley & Sons

作者:Bernhard Pfaff

页数:376

出版时间:2013-1-8

价格:GBP 66.95

装帧:Hardcover

isbn号码:9780470978702

图书标签:R金融Finance数据分析riskStochastics金融数学资产管理

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.

用户评价

只看了markowitz Portfolio management和robust optimization的相关章节，对于r user来说还算不错的书，但是做optimization的话，还是Matlab之类的比较方便

Risk modelling case, proof hard, practically easy

Risk modelling case, proof hard, practically easy

Risk modelling case, proof hard, practically easy

Risk modelling case, proof hard, practically easy