Financial Risk Modelling and Portfolio Optimization with R
Home > Mathematics and Science Textbooks > Mathematics > Probability and statistics > Financial Risk Modelling and Portfolio Optimization with R: (Statistics in Practice)
Financial Risk Modelling and Portfolio Optimization with R: (Statistics in Practice)

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


     0     
5
4
3
2
1



Out of Stock


Notify me when this book is in stock
X
About the 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. 

Table of Contents:
Preface xi List of abbreviations xiii Part I MOTIVATION 1 1 Introduction 3 2 A brief course in R 6 2.1 Origin and development 6 2.2 Getting help 7 2.3 Working with R 10 2.4 Classes, methods and functions 12 2.5 The accompanying package FRAPO 20 3 Financial market data 26 3.1 Stylized facts on financial market returns 26 3.2 Implications for risk models 32 4 Measuring risks 34 4.1 Introduction 34 4.2 Synopsis of risk measures 34 4.3 Portfolio risk concepts 39 5 Modern portfolio theory 43 5.1 Introduction 43 5.2 Markowitz portfolios 43 5.3 Empirical mean–variance portfolios 47 Part II RISK MODELLING 51 6 Suitable distributions for returns 53 6.1 Preliminaries 53 6.2 The generalized hyperbolic distribution 53 6.3 The generalized lambda distribution 56 6.4 Synopsis of R packages for the GHD 62 6.5 Synopsis of R packages for GLD 67 6.6 Applications of the GHD to risk modelling 69 6.7 Applications of the GLD to risk modelling and data analysis 78 7 Extreme value theory 84 7.1 Preliminaries 84 7.2 Extreme value methods and models 85 7.3 Synopsis of R packages 89 7.4 Empirical applications of EVT 98 8 Modelling volatility 112 8.1 Preliminaries 112 8.2 The class of ARCH models 112 8.3 Synopsis of R packages 116 8.4 Empirical application of volatility models 123 9 Modelling dependence 127 9.1 Overview 127 9.2 Correlation, dependence and distributions 127 9.3 Copulae 130 9.4 Synopsis of R packages 136 9.5 Empirical applications of copulae 142 Part III PORTFOLIO OPTIMIZATION APPROACHES 153 10 Robust portfolio optimization 155 10.1 Overview 155 10.2 Robust statistics 156 10.3 Robust optimization 160 10.4 Synopsis of R packages 166 10.5 Empirical applications 171 11 Diversification reconsidered 189 11.1 Introduction 189 11.2 Most diversified portfolio 190 11.3 Risk contribution constrained portfolios 192 11.4 Optimal tail-dependent portfolios 195 11.5 Synopsis of R packages 197 11.6 Empirical applications 201 12 Risk-optimal portfolios 217 12.1 Overview 217 12.2 Mean–VaR portfolios 218 12.3 Optimal CVaR portfolios 223 12.4 Optimal draw-down portfolios 227 12.5 Synopsis of R packages 229 12.6 Empirical applications 238 13 Tactical asset allocation 255 13.1 Overview 255 13.2 Survey of selected time series models 256 13.3 Black–Litterman approach 270 13.4 Copula opinion and entropy pooling 273 13.5 Synopsis of R packages 276 13.6 Empirical applications 288 Appendix A Package overview 314 A.1 Packages in alphabetical order 314 A.2 Packages ordered by topic 317 Appendix B Time series data 324 B.1 Date-time classes 324 B.2 The ts class in the base package stats 327 B.3 Irregular-spaced time series 328 B.4 The package timeSeries 330 B.5 The package zoo 332 B.6 The packages tframe and xts 334 Appendix C Back-testing and reporting of portfolio strategies 338 C.1 R packages for back-testing 338 C.2 R facilities for reporting 339 C.3 Interfacing databases 339 Appendix D Technicalities 342 Index 343

About the Author :
Bernhard Eugen Heinrich Pfaff, Director, Invesco Asset Management Deutschland GmbH, Germany.


Best Sellers


Product Details
  • ISBN-13: 9781118477144
  • Publisher: John Wiley & Sons Inc
  • Publisher Imprint: John Wiley & Sons Inc
  • Height: 250 mm
  • No of Pages: 376
  • Spine Width: 15 mm
  • Width: 150 mm
  • ISBN-10: 1118477146
  • Publisher Date: 26 Apr 2013
  • Binding: Digital online
  • Language: English
  • Series Title: Statistics in Practice
  • Weight: 666 gr


Similar Products

Add Photo
Add Photo

Customer Reviews

REVIEWS      0     
Click Here To Be The First to Review this Product
Financial Risk Modelling and Portfolio Optimization with R: (Statistics in Practice)
John Wiley & Sons Inc -
Financial Risk Modelling and Portfolio Optimization with R: (Statistics in Practice)
Writing guidlines
We want to publish your review, so please:
  • keep your review on the product. Review's that defame author's character will be rejected.
  • Keep your review focused on the product.
  • Avoid writing about customer service. contact us instead if you have issue requiring immediate attention.
  • Refrain from mentioning competitors or the specific price you paid for the product.
  • Do not include any personally identifiable information, such as full names.

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

Required fields are marked with *

Review Title*
Review
    Add Photo Add up to 6 photos
    Would you recommend this product to a friend?
    Tag this Book Read more
    Does your review contain spoilers?
    What type of reader best describes you?
    I agree to the terms & conditions
    You may receive emails regarding this submission. Any emails will include the ability to opt-out of future communications.

    CUSTOMER RATINGS AND REVIEWS AND QUESTIONS AND ANSWERS TERMS OF USE

    These Terms of Use govern your conduct associated with the Customer Ratings and Reviews and/or Questions and Answers service offered by Bookswagon (the "CRR Service").


    By submitting any content to Bookswagon, you guarantee that:
    • You are the sole author and owner of the intellectual property rights in the content;
    • All "moral rights" that you may have in such content have been voluntarily waived by you;
    • All content that you post is accurate;
    • You are at least 13 years old;
    • Use of the content you supply does not violate these Terms of Use and will not cause injury to any person or entity.
    You further agree that you may not submit any content:
    • That is known by you to be false, inaccurate or misleading;
    • That infringes any third party's copyright, patent, trademark, trade secret or other proprietary rights or rights of publicity or privacy;
    • That violates any law, statute, ordinance or regulation (including, but not limited to, those governing, consumer protection, unfair competition, anti-discrimination or false advertising);
    • That is, or may reasonably be considered to be, defamatory, libelous, hateful, racially or religiously biased or offensive, unlawfully threatening or unlawfully harassing to any individual, partnership or corporation;
    • For which you were compensated or granted any consideration by any unapproved third party;
    • That includes any information that references other websites, addresses, email addresses, contact information or phone numbers;
    • That contains any computer viruses, worms or other potentially damaging computer programs or files.
    You agree to indemnify and hold Bookswagon (and its officers, directors, agents, subsidiaries, joint ventures, employees and third-party service providers, including but not limited to Bazaarvoice, Inc.), harmless from all claims, demands, and damages (actual and consequential) of every kind and nature, known and unknown including reasonable attorneys' fees, arising out of a breach of your representations and warranties set forth above, or your violation of any law or the rights of a third party.


    For any content that you submit, you grant Bookswagon a perpetual, irrevocable, royalty-free, transferable right and license to use, copy, modify, delete in its entirety, adapt, publish, translate, create derivative works from and/or sell, transfer, and/or distribute such content and/or incorporate such content into any form, medium or technology throughout the world without compensation to you. Additionally,  Bookswagon may transfer or share any personal information that you submit with its third-party service providers, including but not limited to Bazaarvoice, Inc. in accordance with  Privacy Policy


    All content that you submit may be used at Bookswagon's sole discretion. Bookswagon reserves the right to change, condense, withhold publication, remove or delete any content on Bookswagon's website that Bookswagon deems, in its sole discretion, to violate the content guidelines or any other provision of these Terms of Use.  Bookswagon does not guarantee that you will have any recourse through Bookswagon to edit or delete any content you have submitted. Ratings and written comments are generally posted within two to four business days. However, Bookswagon reserves the right to remove or to refuse to post any submission to the extent authorized by law. You acknowledge that you, not Bookswagon, are responsible for the contents of your submission. None of the content that you submit shall be subject to any obligation of confidence on the part of Bookswagon, its agents, subsidiaries, affiliates, partners or third party service providers (including but not limited to Bazaarvoice, Inc.)and their respective directors, officers and employees.

    Accept

    New Arrivals


    Inspired by your browsing history


    Your review has been submitted!

    You've already reviewed this product!