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Preface | |
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List of Abbreviations | |
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Motivation | |
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Introduction | |
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References | |
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A Brief Course in R | |
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Origin and Development | |
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Getting Help | |
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Working with R | |
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Classes, Methods and Functions | |
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The Accompanying Package FRAPO | |
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References | |
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Financial Market Data | |
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Stylised Facts of Financial Market Returns | |
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Stylised Facts for Univariate Series | |
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Stylised Facts for Multivariate Series | |
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Implications for Risk Models | |
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References | |
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Measuring Risks | |
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Introduction | |
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Synopsis of Risk Measures | |
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Portfolio Risk Concepts | |
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References | |
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Modern Portfolio Theory | |
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Introduction | |
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Markowitz Portfolios | |
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Empirical Mean-Variance Portfolios | |
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References | |
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Risk Modelling ���� | |
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Suitable Distributions for Returns | |
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Preliminaries | |
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The Generalised Hyperbolic Distribution | |
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The Generalised Lambda Distribution | |
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Synopsis of R Packages for GHYP | |
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The package fBasics | |
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The package GeneralizedHyperbolic | |
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The package ghyp | |
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The package QRM | |
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The package SkewHyperbolic | |
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The package VarianceGamma | |
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Synopsis of R Packages for GLD | |
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The package Davies | |
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The package fBasics | |
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The package GLDEX | |
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The package gld | |
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The package lmomco | |
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Applications of the GHD to Risk Modelling | |
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Fitting stock returns to the GHD | |
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Risk assessment with the GHD | |
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Stylised Facts Revisited | |
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Applications of the GLD to Risk Modelling and Data Analysis | |
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VaR for a Single Stock | |
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Shape Triangle for FTSE 100 Constituents | |
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References | |
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Extreme Value Theory | |
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Preliminaries | |
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Extreme Value Methods and Models | |
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The Block Maxima Approach | |
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The r-largest Order Models | |
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The Peaks-over-Threshold Approach | |
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Synopsis of R Packages | |
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The package evd | |
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The package evdbayes | |
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The package evir | |
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The package fExtremes | |
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The packages ismev and extRemes | |
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The package POT | |
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The package QRM | |
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The package Renext | |
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Empirical Applications of EVT | |
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Section Outline | |
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Block Maxima Model for Siemens | |
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r-Block Maxima for BMW | |
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POT-Method for Boeing | |
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References | |
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Modelling Volatility | |
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Preliminaries | |
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The class of ARCH-models | |
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Synopsis of R Packages | |
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The package bayesGARCH | |
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The package ccgarch | |
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The package fGarch | |
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The package gogarch | |
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The packages rugarch and rmgarch | |
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The package tseries | |
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Empirical Application of Volatility Models | |
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References | |
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Modelling Dependence | |
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Overview | |
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Correlation, Dependence and Distributions | |
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Copulae | |
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Motivation | |
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Correlations and Dependence Revisited | |
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Classification and Kinds of Copulae | |
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Synopsis of R Packages | |
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The package BLCOP | |
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The packages copula and nacopula | |
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The package fCopulae | |
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The package gumbel | |
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The package QRM | |
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Empirical Applications of Copulae | |
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GARCH- Copula Model | |
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Mixed Copulae Approaches | |
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References | |
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Portfolio Optimisation Approaches | |
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Robust Portfolio Optimisation | |
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Overview | |
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Robust Statistics | |
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Motivation | |
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Selected Robust Estimators | |
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Robust Optimisation | |
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Motivation | |
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Uncertainty Sets and Problem Formulation | |
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Synopsis of R Packages | |
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The package covRobust | |
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The package fPortfolio | |
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The package MASS | |
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The package robustbase | |
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The package robust | |
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The package rrcov | |
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The package Rsocp | |
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Empirical Application | |
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Portfolio Simulation: Robust vs. Classical Statistics | |
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Portfolio Back Test: Robust vs. Classical Statistics | |
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Portfolio Back Test: Robust Optimisation | |
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References | |
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Diversification Reconsidered | |
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Introduction | |
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Most-Diversified Portfolio | |
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Risk Contribution Constrained Portfolios | |
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Optimal Tail-Dependent Portfolios | |
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Synopsis of R Packages | |
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The packages DEoptim and RcppDE | |
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The package FRAPO | |
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The package PortfolioAnalytics | |
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Empirical Applications | |
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Comparison of Approaches | |
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Optimal Tail-Dependent Portfolio against Benchmark | |
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Limiting Contributions to Expected Shortfall | |
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References | |
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Risk-Optimal Portfolios | |
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Overview | |
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Mean-VaR Portfolios | |
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Optimal CVaR Portfolios | |
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Optimal Draw Down Portfolios | |
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Synopsis of R Packages | |
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The package fPortfolio | |
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The package FRAPO | |
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R packages for Linear Programming | |
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The package PerformanceAnalytics | |
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Empirical Applications | |
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Minimum-CVaR versus Minimum-Variance Portfolios | |
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Draw Down Constrained Portfolios | |
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Backtest Comparison for Stock Portfolio | |
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References | |
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Tactical Asset Allocation | |
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Overview | |
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Survey of Selected Time Series Models | |
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Univariate Time Series Models | |
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Multivariate Time Series Models | |
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Black-Litterman Approach | |
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Copula Opinion and Entropy Pooling | |
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Introduction | |
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The COP-model | |
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The EP-model | |
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Synopsis of R packages | |
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The package BLCOP | |
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The package dse | |
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The package fArma | |
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The package forecast | |
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The package MSBVAR | |
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The package PairTrading | |
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The packages urca and vars | |
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Empirical Applications | |
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Black-Litterman Portfolio Optimisation | |
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Copula Opinion Pooling | |
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Protection Strategies | |
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References | |
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Package Overview | |
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Packages in Alphabetical Order | |
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Packages Ordered by Topic | |
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Time Series Data | |
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Date-Time Classes | |
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B.2 | |
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Irregular-Spaced TimeSeries | |
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The package timeSeries | |
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The package zoo | |
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The packages tframe and xts | |
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Back testing and Reporting of Portfolio Strategies | |
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R Packages for Back testing | |
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R Facilities for Reporting | |
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Interfacing Databases | |
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Technicalities | |
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Index | |