Introduction to modern portfolio optimization with NUOPT and S-PLUS
Author(s)
Bibliographic Information
Introduction to modern portfolio optimization with NUOPT and S-PLUS
Springer, c2005
- : alk. paper
- Other Title
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Introduction to modern portfolio optimization with NUOPT, S-PLUS, and S+Bayes
Available at 14 libraries
Note
Includes bibliographical references (p. 393-399) and index
13 figures of ISBN: 9780387210
Description and Table of Contents
Description
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.
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.
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