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Financial Risk Modelling And Portfolio Optimization With R (Cód: 9236533)

Pfaff,Bernhard; PFAFF

John Wiley & Sons

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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. 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 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 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 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

Características

Produto sob encomenda Sim
Marca John Wiley & Sons
Cód. Barras 9780470978702
Altura 23.11 cm
I.S.B.N. 9780470978702
Profundidade 2.54 cm
Referência 021860428
Acabamento Capa dura
Ano da edição 2013
Idioma Inglês
Número de Páginas 374
Peso 0.57 Kg
Largura 15.49 cm
AutorPfaff,Bernhard; PFAFF

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Financial Risk Modelling And Portfolio Optimization With R (Cód: 9236533) Financial Risk Modelling And Portfolio Optimizatio... (Cód: 9236533)
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Financial Risk Modelling And Portfolio Optimization With R (Cód: 9236533) Financial Risk Modelling And Portfolio Optimizatio... (Cód: 9236533)
R$ 576,10