Introduction to Modern Portfolio optimization with NUOPT and S-PLUS

DOI10.1007/978-0-387-27586-4MaRDI QIDQ5464463zbMATH OpenOpenAlexFDO

Authors 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

Bayes modelingportfolio optimizationresamplingrobust estimatesscenario optimizationvalue-at-risk

Mathematics Subject Classification ID

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

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Cited in

(20)

• A general approach to Bayesian portfolio optimization
• Quantitative portfolio management. With applications in Python
• On valid inequalities for mixed integer \(p\)-order cone programming
• Statistical decision problems. Selected concepts and portfolio safeguard case studies
• A multiplicative weights update algorithm for MINLP
• Portfolio construction and risk budgeting
• Portfolio construction and risk budgeting
• Replica approach to mean-variance portfolio optimization
• Analytic solution to variance optimization with no short positions
• Portfolio selection using R
• Optimal Sequential Surveillance for Finance, Public Health, and Other Areas
• scientific article; zbMATH DE number 2148977 (Why is no real title available?)
• Regularizing portfolio optimization
• Portfolio optimization. With CD-ROM.
• Practical financial optimization. A library of GAMS models
• An algebraic approach to integer portfolio problems
• Complex portfolio selection via convex mixed‐integer quadratic programming: a survey
• Robust asset allocation with conditional value at risk using the forward search
• Portfolio selection in multidimensional general and partial moment space
• Divergent estimation error in portfolio optimization and in linear regression

Describes a project that uses

Uses Software

• S-PLUS

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