Financial risk modelling and portfolio optimization with R:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Chichester
Wiley
2013
|
| Edition: | 1. publ. |
| Series: | Statistics in practice
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XVI, 356 S. graph. Darst. |
| ISBN: | 9780470978702 |
Staff View
MARC
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| 020 | |a 9780470978702 |c (hbk.) £60.00 |9 978-0-470-97870-2 | ||
| 024 | 3 | |a 9780470978702 | |
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| 100 | 1 | |a Pfaff, Bernhard |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Financial risk modelling and portfolio optimization with R |c Bernhard Pfaff |
| 250 | |a 1. publ. | ||
| 264 | 1 | |a Chichester |b Wiley |c 2013 | |
| 300 | |a XVI, 356 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
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| 653 | |a R (Computer program language) | ||
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Record in the Search Index
| _version_ | 1804150099525238784 |
|---|---|
| adam_text | Contents
Preface Xl
List of abbreviations
* ■·
Parti MOTIVATION
1
1
Introduction
3
Reference
5
2
Λ
brief course in
R
°
2.1
Origin and development
6
2.2
Getting help
7
2.3
Working with
R H)
2.4
Classes, methods and functions
12
2.5
The accompanying package
FRA PO
20
References
25
3
Financial market data
26
3.1
Sty
І і
/cd
facts on financial market returns
26
3.1.1
Styli/ed fads for uni
ariate
series
26
3.1.2
Stylized facts for multivariate series
29
3.2
Implications for risk models
32
References
33
4
Measuring risks
34
4.1
Introduction
34
4.2
Synopsis of risk measures
34
4.3
Portfolio risk concepts
39
References
41
5
Modern portfolio theory
43
5.1
Introduction
43
vi
CONTENTS
5.2
Markowi!z
portfolios
43
5.3
Empirical mean—variance portfolios
47
References
Fart II RISK MODELLING
51
6
Suitable distributions for returns
53
6.1
Preliminaries
53
6.2
The generalized hyperbolic distribution
53
6.3
The generalized lambda distribution
56
6.4
Synopsis of
R
packages for the GHD
62
6.4.1
The package
fßasics 62
6.4.2
The package GeneralizedHyperbolic
63
6.4.3
The package ghyp
64
6.4.4
The package QRM
65
6.4.5
The package SkewHyperbolic
66
6.4.6
The package VarianceGamma
67
6.5
Synopsis of
R
packages for GLD
67
6.5.1
The package Davies
67
6.5.2
The package fBasics
67
6.5.3
The package gld
68
6.5.4
The package Imomco
69
6.6
Applications of the GHD to risk modelling
69
6.6.1
Fitting stock returns to the GHD
69
6.6.2
Risk assessment with the GHD
73
6.6.3
Stylized facts revisited
75
6.7
Applications of the GLD to risk modelling and
data analysis
78
6.7.1
VaR for a single stock
78
6.7.2
Shape triangle for FTSE
100
constituents
79
References
82
7
Extreme value theory
84
7.1
Preliminaries
84
7.2
Extreme value methods and models
85
7.2.1
The block maxima approach
85
7.2.2
rth largest order models
86
7.2.3
The peaks-over-threshold approach
87
7.3
Synopsis of
R
packages
89
7.3.1
The package evd
89
7.3.2
The package evdbayes
90
7.3.3
The package evir
91
CONTENTS
vii
7.3.4
The package fKxtremes
93
7.3.5
The packages ismev and extRemes
95
7.3.6
The package POT
96
7.3.7
The package QRM
97
7.3.8
The package Renext
97
7.4
Empirical applications of EV
Τ
98
7.4.1
Section outline
98
7.4.2
Block maxima model for Siemens
99
7.4.3
r
block maxima model
l or
BMW
101
7.4.4
POT method lor Boeing
105
References
1 10
8
Modelling volatility
112
I
12
112
116
1 16
117
118
118
120
122
8.4
Empirical application of volatility models
123
References 1
25
Modelling dependence
127
9.1
Overview
127
9.2
Correlation, dependence and distributions
127
9.3
Copulae
130
9.3.1
Motivation
130
9.3.2
Correlations and dependence revisited
13 1
9.3.3
Classification of copulae
133
9.4
Synopsis of
R
packages
136
9.4.1
The package BLCOP
136
9.4.2
The packages copula and nacopula
138
9.4.3
The package fCopulae
140
9.4.4
The package gumbel
141
9.4.5
The package QRM
142
9.5
Empirical applications of copulae
142
9.5.1
GARCH-copula model
142
9.5.2
Mixed copula approaches
149
References 1
51
Modelling
volatility
8.1
Preliminaries
8.2
The el
ass oi ARCH models
8.3
Synopsis of
R
packages
8.3.1
The package
bayesGARCH
8.3.2
The package ccgarch
8.3.3
The package fGarch
8.3.4
The package gogarch
8.3.5
The packages rugarch and rmgarch
8.3.6
The package tseries
viii
CONN NTS
Part III PORTFOLIO OPTIMIZATION APPROACHES
153
10
Robust
portfolio
optimization 1SS
10.
1 Overview
155
10.2
Robusi statistics
156
10.2.1
Motivation
156
10.2.2
Selected robust estimators
157
[0.3
Robust optimization
160
10.3.1
Motivation
160
10.3.2
Uncertainly sets and problem formulation
160
10.4
Synopsis of
R
packages
166
10.4.1
The package covRobust
166
10.4.2
The package fPortfolio
166
10.4.3
The package MASS
167
10.4.4
The package robustbase
168
10.4.5
The package robust
168
10.4.6
The package rrcov
169
10.4.7
The package Rsocp
170
10.5
Empirical applications
171
10.5.
1 Portfolio simulation: Robust versus classical statistics
17 1
10.5.2
Portfolio back-test: Robust versus classical statistics
177
10.5.3
Portfolio back-test: Robust optimization
182
References
187
11
Diversification reconsidered
189
.1
Introduction
189
.2
Most diversified portfolio
190
.3
Risk contribution constrained portfolios
192
.4
Optimal tail-dependent portfolios
195
.5
Synopsis of
R
packages
197
11.5.1
The packages DEoptim and RcppDE
197
.5.2
The package FRAPO
199
1 1.5.3
The package PortfolioAnalytics
201
1.6
Empirical applications
201
.6.1
Comparison of approaches
201
.6.2
Optimal tail-dependent portfolio against benchmark
206
1
1
.6.3
Limiting contributions to expected shortfall
211
References
2
1
5
12
Risk-optimal portfolios
217
12.1
Overview
217
12.2
Mean-VaR portfolios
218
12.3
Optimal CVaR portfolios
223
12.4
Optimal draw-down portfolios
227
CONTENTS ix
12.5 Synopsis
oľ R
packages
229
12.5.1
The package
«Portfolio
229
12.5.2
The package FRAPC)
230
12.5.3
Packages for linear programming
232
12.5.4
The package PerformanceAnalytics
236
12.6
Empirical applications
238
12.6.1
Minimum-CVaR versus minimum-variance portfolios
238
12.6.2
Draw-down constrained portfolios
242
12.6.3
Back-test comparison for stock portfolio
247
References
253
13
Tactical asset allocation
255
13.1
Overview
255
13.2
Survey of selected time series models
256
13.2.1
Univariate time series models
256
13.2.2
Multivariate time series models
262
13.3
Black-Litterman approach
270
13.4
Copula opinion and entropy pooling
273
13.4.1
Introduction
273
13.4.2
The COP model
273
13.4.3
The EP model
274
13.5
Synopsis of
R
packages
276
13.5.1
The package
BLCOP
276
13.5.2
The package dse
278
13.5.3
The package fArma
281
13.5.4
The package forecast
281
13.5.5
The package MSB
VA R
283
13.5.6
The package PairTrading
284
13.5.7
The packages urea and
vars
285
13.6
Empirical applications
288
13.6.1
Black-Litterman portfolio optimization
288
13.6.2
Copula opinion pooling
295
13.6.3
Protection strategies
299
References
310
Appendix A Package overview
314
A.I Packages in alphabetical order
314
A.
2
Packages ordered by topic
317
References
320
Appendix
В
Time series data
324
B.I Date-time classes
324
B.2 The ts class in the base package stats
327
B.3 Irregular-spaced time series
328
CON UN IS
В.
4
lhe
package limcScrics
Ił.
5
The package /on
H
.6
lhe
packages
Hnime
uml
xis
References
330
334
337
Appendix C
Back-testing and reporting of portfolio strategies
CM
R
packages
loi
back-leslinii
t
.2
R
facilities for reporting
C 3 Interfacing databases
References
Appendix I) Technicalities
ззѕ
33
S
339
340
342
Index
343
|
| any_adam_object | 1 |
| author | Pfaff, Bernhard |
| author_facet | Pfaff, Bernhard |
| author_role | aut |
| author_sort | Pfaff, Bernhard |
| author_variant | b p bp |
| building | Verbundindex |
| bvnumber | BV040769457 |
| classification_rvk | QK 810 |
| ctrlnum | (OCoLC)828659592 (DE-599)BSZ37079625X |
| dewey-full | 332.0285/5133 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.0285/5133 |
| dewey-search | 332.0285/5133 |
| dewey-sort | 3332.0285 45133 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 1. publ. |
| format | Book |
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| id | DE-604.BV040769457 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T00:33:32Z |
| institution | BVB |
| isbn | 9780470978702 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-025747866 |
| oclc_num | 828659592 |
| open_access_boolean | |
| owner | DE-19 DE-BY-UBM DE-N2 DE-473 DE-BY-UBG DE-523 DE-945 DE-2070s |
| owner_facet | DE-19 DE-BY-UBM DE-N2 DE-473 DE-BY-UBG DE-523 DE-945 DE-2070s |
| physical | XVI, 356 S. graph. Darst. |
| publishDate | 2013 |
| publishDateSearch | 2013 |
| publishDateSort | 2013 |
| publisher | Wiley |
| record_format | marc |
| series2 | Statistics in practice |
| spelling | Pfaff, Bernhard Verfasser aut Financial risk modelling and portfolio optimization with R Bernhard Pfaff 1. publ. Chichester Wiley 2013 XVI, 356 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Statistics in practice R Programm (DE-588)4705956-4 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Portfolio management / Statistical methods R (Computer program language) Portfolio Selection (DE-588)4046834-3 s Portfoliomanagement (DE-588)4115601-8 s R Programm (DE-588)4705956-4 s Risikomanagement (DE-588)4121590-4 s 1\p DE-604 DE-604 Digitalisierung UB Bamberg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025747866&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Pfaff, Bernhard Financial risk modelling and portfolio optimization with R R Programm (DE-588)4705956-4 gnd Portfoliomanagement (DE-588)4115601-8 gnd Risikomanagement (DE-588)4121590-4 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| subject_GND | (DE-588)4705956-4 (DE-588)4115601-8 (DE-588)4121590-4 (DE-588)4046834-3 |
| title | Financial risk modelling and portfolio optimization with R |
| title_auth | Financial risk modelling and portfolio optimization with R |
| title_exact_search | Financial risk modelling and portfolio optimization with R |
| title_full | Financial risk modelling and portfolio optimization with R Bernhard Pfaff |
| title_fullStr | Financial risk modelling and portfolio optimization with R Bernhard Pfaff |
| title_full_unstemmed | Financial risk modelling and portfolio optimization with R Bernhard Pfaff |
| title_short | Financial risk modelling and portfolio optimization with R |
| title_sort | financial risk modelling and portfolio optimization with r |
| topic | R Programm (DE-588)4705956-4 gnd Portfoliomanagement (DE-588)4115601-8 gnd Risikomanagement (DE-588)4121590-4 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| topic_facet | R Programm Portfoliomanagement Risikomanagement Portfolio Selection |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025747866&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT pfaffbernhard financialriskmodellingandportfoliooptimizationwithr |