Introduction to Modern Portfolio optimization with NUOPT and S-PLUS
Published 1 January 2005
Bernd Scherer, R. Douglas Martin
Citations73
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TL;DR
This paper presents a meta-modelling framework that automates the very labor-intensive and therefore time-heavy and therefore expensive process of manually selecting the components of a portfolio for optimization.
Abstract
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
Keywords
Engineering