Financial risk modelling and portfolio optimization with R
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: Demonstrate...
| Autor principal: | |
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Hoboken, New Jersey :
Wiley
[2013]
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| Edición: | 1st edition |
| Colección: | Statistics in Practice
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| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009628266206719 |
| Sumario: | 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 |
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| Notas: | Description based upon print version of record. |
| Descripción Física: | 1 online resource (376 p.) |
| Bibliografía: | Includes bibliographical references and index. |
| ISBN: | 9781118477144 9781118477120 9781299190276 9781118477137 |
