Bernd Scherer,
R. Douglas Martin
Modern Portfolio Optimization with NuOPT™, S-PLUS®, and S+Bayes™
Gebonden Engels 2007 1e druk 9780387210162
Verwachte levertijd ongeveer 9 werkdagen
Samenvatting
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.
Specificaties
ISBN13:9780387210162
Taal:Engels
Bindwijze:gebonden
Aantal pagina's:406
Uitgever:Springer New York
Druk:1
Lezersrecensies
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Inhoudsopgave
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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