Financial risk modelling and portfolio optimization with R
\texttt{R} languageBlack-Litterman modelcopula opinion poolingdiversificationdrawdownentropy poolingexpected shortfallextreme value theoryfinancial risk modeling for equitiesMarkowitz modelmost diversified portfoliorobust optimizationrobust statisticsstock portfolio optimizationtactical asset allocationvalue-at-risk
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) 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) Stochastic models in economics (91B70) Economic time series analysis (91B84) Portfolio theory (91G10) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)
- Copula-based Black-Litterman portfolio optimization
- Computational finance. An introductory course with R
- Financial risk modelling and portfolio optimization with R
- Portfolio selection using R
- The generalized double Lomax distribution with applications
- An efficient estimator of the parameters of the generalized lambda distribution
- Bayesian Estimation of Gaussian Conditional Random Fields
- A simple and efficient method for finding the closest generalized lambda distribution to a specific model
- Risk and portfolio analysis. Principles and methods.
- Computational Finance with R
Uses Software
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