Modern Portfolio Optimization with NuOPT™, S-PLUS®, and S+Bayes™

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.