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
Summary
"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."--Jacket
Bibliography
Includes bibliographical references (pages 393-399) and index
