Introduction to Modern Portfolio Optimization with NuOPT, S-Plus, and S+ Bayes

Bernd Scherer, Douglas Martin

406 pages, parution le 16/06/2005

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Résumé

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, and this trend will only accelerate in the coming years. Unfortunately there is a large gap between the limited treatment of portfolio construction methods that are presented in most university courses with relatively little hands-on experience and limited computing tools, and the rich and varied aspects of portfolio construction that are used in practice in the finance industry. Current practice demands the use of modern methods of portfolio construction that go well beyond the classical Markowitz mean-variance optimality theory and require the use of powerful scalable numerical optimization methods. This book fills the gap between current university instruction and current industry practice by providing a comprehensive computationally-oriented treatment of modern portfolio optimization and construction methods. The computational aspect of the book is based on extensive use of S-Plus, the S+NuOPT optimization module, the S-Plus Robust Library and the S+Bayes Library, along with about 100 S-Plus scripts and some CRSP sample data sets of stock returns. A special time-limited version of the S-Plus software is available to purchasers of this book.

Sommaire

Preface
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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Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	Bernd Scherer, Douglas Martin
Parution	16/06/2005
Nb. de pages	406
Format	16 x 24
Couverture	Relié
Poids	725g
Intérieur	Noir et Blanc
EAN13	9780387210162
ISBN13	978-0-387-21016-2