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-PlusA(R), the S+NuOPTa"[ optimization module, the S-Plus
Robust Library and the S]Bayesa"[ Library, along with about 100
S-Plus scripts and some CRSPA(R) sample data sets of stock returns.
A special time-limited version of the S-Plus software is available
to purchasers of this book.
a oeFor 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 estimationtechniques and explanation of when
non-normality plays a part. A highly recommended and practical
handbook for the consummate professional and student alike!a
Steven P. Greiner, Ph.D., Chief Large Cap Quant &
Fundamental Research Manager, Harris Investment Management
a oeThe 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.a
Peter Knez, CIO, Global Head of Fixed Income, Barclays Global
Investors
a oeWith regard to static portfolio optimization, the book gives
a good survey on the development from the basic Markowitz approach
to state of the art models and is in particular valuable for direct
use in practice or for lectures combined with practical
exercises.a
Short Book Reviews of the International Statistical Institute,
December 2005
General
Is the information for this product incomplete, wrong or inappropriate?
Let us know about it.
Does this product have an incorrect or missing image?
Send us a new image.
Is this product missing categories?
Add more categories.
Review This Product
No reviews yet - be the first to create one!
Welcome to Loot.co.za!
Sign in / Register |Wishlists & Gift Vouchers |Help | Advanced search
