McDonnell P. Optimal Portfolio Modeling: Models to Maximize Returns and Control Risk in Excel and R

John Wiley & Sons. 2008. — 314 p.
ISBN: 0470117664.Optimal Portfolio Modeling is an easily accessible introduction to portfolio modeling for those who prefer an intuitive approach to this discipline. While early chapters provide engaging insights on the statistical properties of markets, this book quickly moves on to illustrate invaluable trading and risk control models based on popular programs such as Excel and the statistical modeling language R. This reliable resource presents modeling formulas that will allow you to effectively maximize the performance, minimize the drawdown, and manage the risk of your portfolio.Modeling Market Microstructure Randomness in Markets.
The Distribution of Price Changes.
Investment Objectives.
Modeling Risk Management and Stop Loss Myths.
Maximal Compounded Return Model.
Utility Models - Preferences Toward Risk and Return.
Money Management Formulas Using the Joint Multi-Asset Distribution.
Proper Backtesting for Portfolio Models.
The Combined Optimal Portfolio Model.
About the CD-Rom.
Contents of the CD-Rom.
Installation of the CD-Rom.
Using the Programs.
Updates to the CD-Rom.
Appendix. Table of Values of the Normal Distribution.
Appendix. Installing R.
Appendix. Introduction to R. Introduction to R Manual.
Appendix. R Language Definition. R Language Definition Manual.