Applied probabilistic calculus for assets allocation and portfolio optimization in financial engineering using R. (2017)

• Record Type: Book
• Further Information: Note: Bertram K.C. Chan.
• Authors: Chan, B. K. C (Bertram Kim-Cheong)
• Contents: Preface Dedication Chapter 1: Introduction to Financial Engineering 1 Introduction to Financial Engineering 1.1 What is Financial Engineering? 1.2 The Meaning of the Title of this Book 1.3 The Continuing Challenge in Financial Engineering 1.4 “Financial Engineering 101”: Modern Portfolio Theory[2] 1.5 Asset Class Assumptions Modeling 1.6 Typical Examples of Proprietary Investment Funds 1.7 The Dow Jones Industrial Average (DJIA) and Inflation 1.8 Some Less Commendable Stock Investment Approaches 1.9 Developing Tools for Financial Engineering Analysis Solutions to Exercises in Chapter 1: Chapter 2: Probabilistic Calculus for Modeling Financial Engineering 2.1 Introduction to Financial Engineering 2.2 Mathematical Modeling in Financial Engineering 2.3 Building an Effective Financial Model from GBM via Probabilistic Calculus 2.4 A Continuous Financial Model Using Probabilistic Calculus (Stochastic Calculus, Ito Calculus) 2.5 Numerical Examples of Representation of Financial Data Using R Chapter 3: Classical Mathematical Models in Financial Engineering and Modern Portfolio Theory 3.0 An Introduction to the Cost of Money in the Financial Market 3.1 Modern Theories of Portfolio Optimization 3.2 The Black-Litterman Model 3.3 The Black-Scholes Option Pricing Model Chapter 4: Data Analysis Using R Programming 4.1 Data and Processing 4.2 Beginning R 4.3 R as a Calculator 4.4 Using R in Data Analysis in Financial Engineering 4.5 Univariate, Bivariate, and Multivariate Data Analysis Appendix 1: Documentation for the plot function Special References for Chapter 4 Chapter 5: Assets Allocation Using R 5.1 Risk Aversion and the Assets Allocation Process 5.2 Classical Assets Allocation Approaches 5.3 Allocation with Time Varying Risk Aversion 5.4 Variable Risk Preference Bias 5.5 A Unified Approach for Time Varying Risk Aversion 5.6 Assets Allocation Worked Examples Chapter 6: Financial Risk Modeling and Portfolio Optimization Using R 6.1 Introduction to the Optimization Process 6.2 Optimization Methodologies in Probabilistic Calculus for Financial Engineering 6.3 Financial Risk Modeling and Portfolio Optimization References Index
• Edition: 1st
• Publisher Details: Hoboken, New Jersey : John Wiley & Sons, Inc
• Publication Date: 2017
• Extent: 1 online resource
• Subjects: 332.015192; Financial engineering -- Mathematical models; Probabilities; Calculus; R (Computer program language)
• Languages: English
• ISBNs: 9781119388043; 9781119388081
• Related ISBNs: 9781119387619
• Notes: Note: Includes bibliographical references and index.; Note: Description based on CIP data; resource not viewed.
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