Introduction to modern portfolio optimization with NUOPT and S-PLUS
著者
書誌事項
Introduction to modern portfolio optimization with NUOPT and S-PLUS
Springer, c2005
- : alk. paper
- タイトル別名
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Introduction to modern portfolio optimization with NUOPT, S-PLUS, and S+Bayes
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注記
Includes bibliographical references (p. 393-399) and index
13 figures of ISBN: 9780387210
内容説明・目次
内容説明
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.
目次
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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