Analyzing Financial Data and Implementing Financial Models Using R
Analyzing Financial Data and Implementing Financial Models Using R
This advanced undergraduate/graduate textbook teaches students in finance and economics how to use R to analyse financial data and implement financial models. It demonstrates how to take publically available data and manipulate, implement models and generate outputs typical for particular analyses. A wide spectrum of timely and practical issues in financial modelling are covered including return and risk measurement, portfolio management, option pricing and fixed income analysis. This new edition updates and expands upon the existing material providing updated examples and new chapters on equities, simulation and trading strategies, including machine learnings techniques. Select data sets are available online.
Chapter 1 Prices
Chapter 2 Individual Security ReturnsChapter 3 Portfolio Returns
Chapter 4 Risk
Chapter 5 Factor Models
Chapter 6 Risk-Adjusted Portfolio Performance Measures
Chapter 7 Markowitz Mean-Variance Optimization
Chapter 8 Fixed Income
Chapter 9 Options
Appendix A Getting Started with R. Appendix B Constructing a Hypothetical Portfolio.
Ang, Clifford S.
| ISBN | 978-3-030-64154-2 |
|---|---|
| Artikelnummer | 9783030641542 |
| Medientyp | Buch |
| Auflage | 2. Aufl. |
| Copyrightjahr | 2021 |
| Verlag | Springer, Berlin |
| Umfang | XVI, 465 Seiten |
| Abbildungen | XVI, 465 p. 63 illus., 56 illus. in color. |
| Sprache | Englisch |
