Modern Portfolio Optimization with NuOPT, S-PLUS, and S+Bayes / Edition 1

Modern Portfolio Optimization with NuOPT, S-PLUS, and S+Bayes / Edition 1

by Bernd Scherer, R. Douglas Martin
     
 

ISBN-10: 0387210164

ISBN-13: 9780387210162

Pub. Date: 09/05/2007

Publisher: Springer New York

In recent years portfolio optimization and construction methodologies have become an increasingly critical ingredient of asset and fund management, while at the same time portfolio risk assessment has become an essential ingredient in risk management. This trend will only accelerate in the coming years. This practical handbook fills the gap between current

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Overview

In recent years portfolio optimization and construction methodologies have become an increasingly critical ingredient of asset and fund management, while at the same time portfolio risk assessment has become an essential ingredient in risk management. This trend will only accelerate in the coming years. This practical handbook fills the gap between current university instruction and current industry practice. It provides a comprehensive computationally-oriented treatment of modern portfolio optimization and construction methods using the powerful NUOPT for S-PLUS optimizer.

Product Details

ISBN-13:
9780387210162
Publisher:
Springer New York
Publication date:
09/05/2007
Edition description:
1st ed. 2005. Corr. 2nd. printing 2007
Pages:
406
Product dimensions:
6.10(w) x 9.25(h) x 0.04(d)

Table of Contents

From the contents List of Code Examples. Linear and Quadratic Programming.- General Optimization with SIMPLE.- Advanced Issues in Mean-Variance Optimization.- Resampling and Portfolio Choice.- Scenario Optimization: Addressing Non-Normality.- Robust Statistical Methods for Portfolio Construction.- Bayes Methods.- Bibliography. Index.

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