现货Financial Risk Modelling and Portfolio Optimization with R[9781119119661]

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上海宝山

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作者Pfaff, Bernhard

出版社Wiley

ISBN9781119119661

出版时间2016-10

装帧精装

纸张其他

页数448页

正文语种英语

上书时间2023-04-21

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商品描述: This book presents recent advanced methods for modelling financial risks and portfolio optimisation using R. It introduces stylised facts, loss function and risk measures, conditional and unconditional modelling of risk; extreme value theory, generalised hyperbolic distribution and volatility modelling, portfolio optimisation, copulae, portfolio risk concepts, optimisation with risk constraints, ALM, LDI, Core-Satellite and minimum CVAR portfolio. Written in a clear, information and well-structured manner, each chapter first outlines the subject, discussing the previous mainstream theory, its failings, and the latest methods to address those shortcomings. It then provides equations to outline the necessary maths. Having done this it outlines the relevant packages available in R, highlighting key functions, limitations, or areas where they each excel. This new edition includes new R packages: ReturnAnalytics and cccp as well as a new section exploring risk surface plots. Entr