Original PDF Ebook – Financial Risk Modelling and Portfolio Optimization with R2nd Edition – 9781119119661

Original PDF Ebook – Financial Risk Modelling and Portfolio Optimization with R2nd Edition – 9781119119661

A must have text for risk modelling and portfolio optimization using R._x000D_
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._x000D_
Financial Risk Modelling and Portfolio Optimization with R:_x000D_
Demonstrates techniques in modelling financial risks and applying portfolio optimization techniques as well as recent advances in the field._x000D_
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._x000D_
Explores portfolio risk concepts and optimization with risk constraints._x000D_
Is accompanied by a supporting website featuring examples and case studies in R._x000D_
Includes updated list of R packages for enabling the reader to replicate the results in the book._x000D_
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.