Modern Portfolio Optimization with NuOPT™, S-PLUS®, and S+Bayes™
Publication year: 2005
ISBN: 978-0-387-27586-4
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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.
Subject: Mathematics and Statistics, Investment, Investmentmanagement, Portfolio, Portfolio Optimization, Portfolio Theory, Resampling, STATISTICA, Variance, linear optimization, optimization, sets, statistical method
