The Resource Modern Portfolio Optimization with NuOPTTM, S-PLUS®, and S+BayesTM, by Bernd Scherer, R. Douglas Martin, (electronic resource)

Modern Portfolio Optimization with NuOPTTM, S-PLUS®, and S+BayesTM, by Bernd Scherer, R. Douglas Martin, (electronic resource)

Label
Modern Portfolio Optimization with NuOPTTM, S-PLUS®, and S+BayesTM
Title
Modern Portfolio Optimization with NuOPTTM, S-PLUS®, and S+BayesTM
Statement of responsibility
by Bernd Scherer, R. Douglas Martin
Creator
Contributor
Author
Author
Subject
Language
  • eng
  • eng
Summary
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+NuOPTTM optimization module, the S-Plus Robust Library and the S+BayesTM 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. "For money managers and investment professionals in the field, optimization is truly a can of worms rather left un-opened, until now! Here lies a thorough explanation of almost all possibilities one can think of for portfolio optimization, complete with error estimation techniques and explanation of when non-normality plays a part. A highly recommended and practical handbook for the consummate professional and student alike!" Steven P. Greiner, Ph.D. Chief Large Cap Quant & Fundamental Research Manager Harris Investment Management "The authors take a huge step in the long struggle to establish applied post-modern portfolio theory. The optimization and statistical techniques generalize the normal linear model to include robustness, non-normality, and semi-conjugate Bayesian analysis via MCMC. The techniques are very clearly demonstrated by the extensive use and tight integration of S-Plus software. Their book should be an enormous help to students and practitioners trying to move beyond traditional modern portfolio theory." Peter Knez CIO, Global Head of Fixed Income Barclays Global Investors
http://library.link/vocab/creatorName
Scherer, Bernd
Dewey number
332.6028553
http://bibfra.me/vocab/relation/httpidlocgovvocabularyrelatorsaut
  • zRL6udlpQ4o
  • fjgC6oG5u2k
Language note
English
LC call number
QA276-280
Literary form
non fiction
Nature of contents
dictionaries
http://library.link/vocab/relatedWorkOrContributorName
Martin, R. Douglas.
http://library.link/vocab/subjectName
  • Statistics
  • Finance
  • Mathematical statistics
  • Statistics for Business, Management, Economics, Finance, Insurance
  • Quantitative Finance
  • Statistics and Computing/Statistics Programs
Label
Modern Portfolio Optimization with NuOPTTM, S-PLUS®, and S+BayesTM, by Bernd Scherer, R. Douglas Martin, (electronic resource)
Instantiates
Publication
Note
Description based upon print version of record
Bibliography note
Includes bibliographical references (p. 393-399) and index
Carrier category
online resource
Carrier category code
cr
Content category
text
Content type code
txt
Contents
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
Dimensions
unknown
Edition
1st ed. 2005.
Extent
1 online resource (422 p.)
Form of item
online
Isbn
9786610459209
Media category
computer
Media type code
c
Other control number
10.1007/978-0-387-27586-4
Specific material designation
remote
System control number
  • (CKB)1000000000227456
  • (EBL)302586
  • (OCoLC)65174872
  • (SSID)ssj0000182748
  • (PQKBManifestationID)11156503
  • (PQKBTitleCode)TC0000182748
  • (PQKBWorkID)10172622
  • (PQKB)11316120
  • (DE-He213)978-0-387-27586-4
  • (MiAaPQ)EBC302586
  • (EXLCZ)991000000000227456
Label
Modern Portfolio Optimization with NuOPTTM, S-PLUS®, and S+BayesTM, by Bernd Scherer, R. Douglas Martin, (electronic resource)
Publication
Note
Description based upon print version of record
Bibliography note
Includes bibliographical references (p. 393-399) and index
Carrier category
online resource
Carrier category code
cr
Content category
text
Content type code
txt
Contents
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
Dimensions
unknown
Edition
1st ed. 2005.
Extent
1 online resource (422 p.)
Form of item
online
Isbn
9786610459209
Media category
computer
Media type code
c
Other control number
10.1007/978-0-387-27586-4
Specific material designation
remote
System control number
  • (CKB)1000000000227456
  • (EBL)302586
  • (OCoLC)65174872
  • (SSID)ssj0000182748
  • (PQKBManifestationID)11156503
  • (PQKBTitleCode)TC0000182748
  • (PQKBWorkID)10172622
  • (PQKB)11316120
  • (DE-He213)978-0-387-27586-4
  • (MiAaPQ)EBC302586
  • (EXLCZ)991000000000227456

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