Financial risk modelling and portfolio optimization with R
zbMATH Open1275.91006MaRDI QIDQ3145111FDOQ3145111
Authors: Bernhard Pfaff 
Publication date: 14 December 2012
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Portfolio theory (91G10) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Stochastic models in economics (91B70)
Cited In (11)
- Portfolio risk analysis.
- Tidy Finance with R
- Optimal allocation of trend following strategies
- Data-driven portfolio management with quantile constraints
- Portfolio selection using R
- Computational Finance with R
- Linking Tukey's legacy to financial risk measurement
- Mean-univariate GARCH VaR portfolio optimization: actual portfolio approach
- Risk and asset allocation.
- Financial risk modelling and portfolio optimization with R
- Computational finance. An introductory course with R
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