Financial Risk Modelling and Portfolio Optimization with R

DOI10.1002/9781119119692zbMath1347.91002OpenAlexW1910765183MaRDI QIDQ2827013

Bernhard Pfaff

Publication date: 11 October 2016

Full work available at URL: https://doi.org/10.1002/9781119119692

zbMATH Keywords

robust optimizationextreme value theoryvalue-at-riskrobust statisticsdiversificationMarkowitz modelexpected shortfall\texttt{R} languagedrawdownBlack-Litterman modeltactical asset allocationstock portfolio optimizationcopula opinion poolingentropy poolingfinancial risk modeling for equitiesmost diversified portfolio

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Stochastic models in economics (91B70) Portfolio theory (91G10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

Related Items (5)

An efficient estimator of the parameters of the generalized lambda distribution ⋮ Bayesian Estimation of Gaussian Conditional Random Fields ⋮ The generalized double Lomax distribution with applications ⋮ A simple and efficient method for finding the closest generalized lambda distribution to a specific model ⋮ Copula-based Black-Litterman portfolio optimization

Uses Software

• R
• vars
• zoo
• RStudio
• urca
• FRAPO
• sos
• ctv
• timeSeries
• cccp
• gogarch
• rneos

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