Financial Risk Modelling and Portfolio Optimization with R.

Bernhard. Pfaff
Bok · Engelsk · 2016 · Electronic books.

Omfang	1 online resource (497 pages)
Utgave	2nd ed.
Opplysninger	Intro -- Title Page -- Copyright -- Table of Contents -- Preface to the Second Edition -- Preface -- Abbreviations -- About the Companion Website -- Part I: Motivation -- Chapter 1: Introduction -- Reference -- Chapter 2: A brief course in R -- 2.1 Origin and development -- 2.2 Getting help -- 2.3 Working with R -- 2.4 Classes, methods, and functions -- 2.5 The accompanying package FRAPO -- References -- Chapter 3: Financial market data -- 3.1 Stylized facts of financial market returns -- 3.2 Implications for risk models -- References -- Chapter 4: Measuring risks -- 4.1 Introduction -- 4.2 Synopsis of risk measures -- 4.3 Portfolio risk concepts -- References -- Chapter 5: Modern portfolio theory -- 5.1 Introduction -- 5.2 Markowitz portfolios -- 5.3 Empirical mean-variance portfolios -- References -- Part II: Risk modelling -- Chapter 6: Suitable distributions for returns -- 6.1 Preliminaries -- 6.2 The generalized hyperbolic distribution -- 6.3 The generalized lambda distribution -- 6.4 Synopsis of R packages for GHD -- 6.5 Synopsis of R packages for GLD -- 6.6 Applications of the GHD to risk modelling -- 6.7 Applications of the GLD to risk modelling and data analysis -- References -- Chapter 7: Extreme value theory -- 7.1 Preliminaries -- 7.2 Extreme value methods and models -- 7.3 Synopsis of R packages -- 7.4 Empirical applications of EVT -- References -- Chapter 8: Modelling volatility -- 8.1 Preliminaries -- 8.2 The class of ARCH models -- 8.3 Synopsis of R packages -- 8.4 Empirical application of volatility models -- References -- Chapter 9: Modelling dependence -- 9.1 Overview -- 9.2 Correlation, dependence, and distributions -- 9.3 Copulae -- 9.4 Synopsis of R packages -- 9.5 Empirical applications of copulae -- References -- Part III: Portfolio optimization approaches -- Chapter 10: Robust portfolio optimization -- 10.1 Overview.. - 10.2 Robust statistics -- 10.3 Robust optimization -- 10.4 Synopsis of R packages -- 10.5 Empirical applications -- References -- Chapter 11: Diversification reconsidered -- 11.1 Introduction -- 11.2 Most-diversified portfolio -- 11.3 Risk contribution constrained portfolios -- 11.4 Optimal tail-dependent portfolios -- 11.5 Synopsis of R packages -- 11.6 Empirical applications -- References -- Chapter 12: Risk-optimal portfolios -- 12.1 Overview -- 12.2 Mean-VaR portfolios -- 12.3 Optimal CVaR portfolios -- 12.4 Optimal draw-down portfolios -- 12.5 Synopsis of R packages -- 12.6 Empirical applications -- References -- Chapter 13: Tactical asset allocation -- 13.1 Overview -- 13.2 Survey of selected time series models -- 13.3 The Black-Litterman approach -- 13.4 Copula opinion and entropy pooling -- 13.5 Synopsis of R packages -- References -- Chapter 14: Probabilistic utility -- 14.1 Overview -- 14.2 The concept of probabilistic utility -- 14.3 Markov chain Monte Carlo -- 14.4 Synopsis of R packages -- 14.5 Empirical application -- References -- Appendix A: Package overview -- A.1 Packages in alphabetical order -- A.2 Packages ordered by topic -- References -- Appendix B: Time series data -- B.1 Date/time classes -- B.2 The ts class in the base package stats -- B.3 Irregularly spaced time series -- B.4 The package timeSeries -- B.5 The package zoo -- B.6 The packages tframe and xts -- References -- Appendix C: Back-testing and reporting of portfolio strategies -- C.1 R packages for back-testing -- C.2 R facilities for reporting -- C.3 Interfacing with databases -- References -- Appendix D: Technicalities -- Reference -- Index -- End User License Agreement.
Emner	Financial risk - Mathematical models.
Sjanger	Electronic books.
Dewey	332.0285/5133
ISBN	9781119119685
ISBN(galt)	9781119119661