Portfolio Optimization with R/Rmetrics

CHF 128.80
Portfolio Optimization with R/Rmetrics

Authors: Diethelm Würtz, Yohan Chalabi, William Chen, Andrew Ellis
Rmetrics eBooks 2009
Rmetrics Association and Finance Online Publishing, Zurich
455 Pages, 87 Figures
ISBN: 978-3-906041-01-8

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About this Book

This is a book about portfolio optimization from the perspective of computational finance and financial engineering. Thus the main emphasis is to briefly introduce the concepts and to give the reader a set of powerful tools to solve the problems in the field of portfolio optimization. This book divides roughly into five parts. The first part, Chapters 1-10, is dedicated to the exploratory data analysis of financial assets, the second part, Chapters 11-14, to the framework of portfolio design, selection and optimization, the third part, Chapters 15-19, to the mean-variance portfolio approach, the fourth part, Chapters 20-23, to the mean-conditional value-at-risk portfolio approach, and the fifth part, Chapters 24-26, to portfolio backtesting and benchmarking.


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or omissions. To report any such errors, please use the contact form or email to books [at] rmetrics.org.

Price: CHF 128.80

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