En savoir plus
Informationen zum Autor Bernhard Eugen Heinrich Pfaff, Director, Invesco Asset Management Deutschland GmbH, Germany. Klappentext Financial Risk Modelling and Portfolio Optimization with R, 2nd EditionBernhard Pfaff, Invesco Global Asset Allocation, GermanyA must have text for risk modelling and portfolio optimization using R.This 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. This edition has been extensively revised to include new topics on risk surfaces and probabilistic utility optimization as well as an extended introduction to R language.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.* Is accompanied by a supporting website featuring examples and case studies in R.* Includes updated list of R packages for enabling the reader to replicate the results in the book.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. Zusammenfassung Financial Risk Modelling and Portfolio Optimization with R, 2nd Edition Bernhard Pfaff, Invesco Global Asset Allocation, Germany A must have text for risk modelling and portfolio optimization using R. Inhaltsverzeichnis Preface to the Second Edition xi Preface xiii Abbreviations xv About the Companion Website xix PART I MOTIVATION 1 1 Introduction 3 Reference 5 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 22 References 28 3 Financial market data 29 3.1 Stylized facts of financial market returns 29 3.1.1 Stylized facts for univariate series 29 3.1.2 Stylized facts for multivariate series 32 3.2 Implications for risk models 35 References 36 4 Measuring risks 37 4.1 Introduction 37 4.2 Synopsis of risk measures 37 4.3 Portfolio risk concepts 42 References 44 5 Modern portfolio theory 46 5.1 Introduction 46 5.2 Markowitz portfolios 47 5.3 Empirical mean-variance portfolios 50 References 52 PART II RISK MODELLING 55 6 Suitable distributions for returns 57 6.1 Preliminaries 57 6.2 The generalized hyperbolic distribution 57 6.3 The generalized lambda distribution 60 6.4 Synopsis of R packages for GHD 66 6.4.1 The package fBasics 66 6.4.2 The package GeneralizedHyperbolic 67 6.4.3 The package ghyp 69 6.4.4 The package QRM 70 6.4.5 The package SkewHyperbolic 70 6.4.6 The package VarianceGamma 71 6.5 Synopsis of R packages for GLD 71 6.5.1 The package Davies 71 6.5.2 The package fBasics 72 6.5.3 The package gld 73 6.5.4 The package lmomco 73 6.6 Applications of the GHD to risk modelling 74 6.6.1 Fitting stock returns to the GHD 74 6.6.2 Risk assessment with the GHD 77 6.6.3 Stylized facts revisited 80 6.7 Applications of the GLD to risk modelling...
