Introduction to Modern Portfolio optimization with NUOPT and S-PLUS

DOI10.1007/978-0-387-27586-4zbMath1104.90002OpenAlexW411168830MaRDI QIDQ5464463

Bernd Scherer, R. Douglas Martin

Publication date: 17 August 2005

Full work available at URL: https://doi.org/10.1007/978-0-387-27586-4

zbMATH Keywords

resamplingportfolio optimizationvalue-at-riskrobust estimatesscenario optimizationBayes modeling

Mathematics Subject Classification ID

Economic time series analysis (91B84) Applications of mathematical programming (90C90) Portfolio theory (91G10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)

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Uses Software

• S-PLUS