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

Paperback (Print)
Buy New
Buy New from
Used and New from Other Sellers
Used and New from Other Sellers
from $95.61
Usually ships in 1-2 business days
(Save 25%)
Other sellers (Paperback)
  • All (7) from $95.61   
  • New (5) from $95.61   
  • Used (2) from $134.20   


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.

Read More Show Less

Editorial Reviews

From the Publisher
From the reviews:

"With regard to static portfolio optimization, the book gives a good survey on the development from the basic Markowitz approach to state of the art models and is in particular valuable for direct use in practice or for lectures combined with practical exercises." Short Book Reviews of the International Statistical Institute, December 2005

"Portfolio theory deals with how to allocate resources among several alternatives. … this book will be especially appealing for practitioners and graduate students with an interest in methods. … this book covers many aspects of modern portfolio theory with the main focus on their implementation in S-PLUS. … this book contains a variety of valuable tools for the practitioner using S-PLUS." (Matthias Fischer, Statistical Papers, Vol. 48, 2006)

"This book’s subtitle, ‘With NuOPTTM , S-PLUS® and S+ BayesTM,’ highlights one of its special features. It is loaded with S-PLUS scripts, more than 100 of them. … The book also features statistical methodology that adds considerably to the tool set that would be traditionally used for portfolio optimization. … this is definitely an MBA-level textbook." (Technometrics, Vol. 48 (3), August, 2006)

"This book discusses modern portfolio optimization and applications. It is intended for quantitative finance professionals and graduate students in finance, operation research and applied mathematics." (Qin Lu, Zentralblatt MATH, Vol. 1104 (6), 2007)

Read More Show Less

Product Details

  • ISBN-13: 9781441919342
  • Publisher: Springer New York
  • Publication date: 10/5/2010
  • Edition description: Softcover reprint of hardcover 1st ed. 2005
  • Edition number: 1
  • Pages: 406
  • Product dimensions: 6.14 (w) x 9.21 (h) x 0.87 (d)

Table of Contents

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.

Read More Show Less

Customer Reviews

Be the first to write a review
( 0 )
Rating Distribution

5 Star


4 Star


3 Star


2 Star


1 Star


Your Rating:

Your Name: Create a Pen Name or

Barnes & Review Rules

Our reader reviews allow you to share your comments on titles you liked, or didn't, with others. By submitting an online review, you are representing to Barnes & that all information contained in your review is original and accurate in all respects, and that the submission of such content by you and the posting of such content by Barnes & does not and will not violate the rights of any third party. Please follow the rules below to help ensure that your review can be posted.

Reviews by Our Customers Under the Age of 13

We highly value and respect everyone's opinion concerning the titles we offer. However, we cannot allow persons under the age of 13 to have accounts at or to post customer reviews. Please see our Terms of Use for more details.

What to exclude from your review:

Please do not write about reviews, commentary, or information posted on the product page. If you see any errors in the information on the product page, please send us an email.

Reviews should not contain any of the following:

  • - HTML tags, profanity, obscenities, vulgarities, or comments that defame anyone
  • - Time-sensitive information such as tour dates, signings, lectures, etc.
  • - Single-word reviews. Other people will read your review to discover why you liked or didn't like the title. Be descriptive.
  • - Comments focusing on the author or that may ruin the ending for others
  • - Phone numbers, addresses, URLs
  • - Pricing and availability information or alternative ordering information
  • - Advertisements or commercial solicitation


  • - By submitting a review, you grant to Barnes & and its sublicensees the royalty-free, perpetual, irrevocable right and license to use the review in accordance with the Barnes & Terms of Use.
  • - Barnes & reserves the right not to post any review -- particularly those that do not follow the terms and conditions of these Rules. Barnes & also reserves the right to remove any review at any time without notice.
  • - See Terms of Use for other conditions and disclaimers.
Search for Products You'd Like to Recommend

Recommend other products that relate to your review. Just search for them below and share!

Create a Pen Name

Your Pen Name is your unique identity on It will appear on the reviews you write and other website activities. Your Pen Name cannot be edited, changed or deleted once submitted.

Your Pen Name can be any combination of alphanumeric characters (plus - and _), and must be at least two characters long.

Continue Anonymously

    If you find inappropriate content, please report it to Barnes & Noble
    Why is this product inappropriate?
    Comments (optional)