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Financial risk modelling and portfolio optimization with R

Pfaff, Bernhard - 2016 - Second edition.

.3 Portfolio risk concepts -- References -- Chapter 5: Modern portfolio theory -- 5.1 Introduction -- 5.2 Markowitz portfolios -- 5 ….7 Applications of the GLD to risk modelling and data analysis -- References -- Chapter 7: Extreme value theory -- 7.1 Preliminaries …