Financial Risk Modelling and Portfolio Optimization with R

List of abbreviations

2OLS	Two-stage ordinary least-squares
3OLS	Three-stage ordinary least-squares
ACF	Autocorrelation function
ADF	Augmented Dickey–Fuller
AMPL	A modelling language for mathematical programming
ANSI	American National Standards Institute
AP	Active premium
APARCH	Asymmetric power ARCH
API	Application programming interface
ARCH	Autoregressive conditional heteroscedasticity
AvDD	Average draw-down
BL	Black–Litterman
BP	Break point
CDaR	Conditional draw-down at risk
CLI	Command line interface
CLT	Central limit theorem
COM	Component object model
COP	Copula opinion pooling
CPPI	Constant proportion portfolio insurance
CRAN	Comprehensive R Archive Network
CVaR	Conditional value at risk
DBMS	Data Base Management System
DD	Draw-down
DE	Differential evolution
DR	Diversification ratio
EDA	Exploratory data analysis
EGARCH	Exponential GARCH
EM	Expectation maximization
EMA	Exponentially weighted mean
EP	Entropy pooling
ERS	Elliott–Rothenberg–Stock
ES	Expected shortfall
EVT	Extreme value theory
FIML	Full-information maximum likelihood
GARCH	Generalized autoregressive conditional heteroscedasticity
GEV	Generalized extreme value
GHD	Generalized hyperbolic distribution
GIG	Generalized inverse Gaussian
GLD	Generalized lambda distribution
GLPK	GNU Linear Programming Kit
GMPL	GNU MathProg modelling language
GMV	Global minimum variance
GoF	Goodness of fit
GOGARCH	Generalized orthogonal GARCH