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. This trend will only accelerate in the coming years. This practical handbook fills the gap between current university instruction and current industry practice. It provides a comprehensive computationally-oriented treatment of modern portfolio optimization and construction methods using the powerful NUOPT for S-PLUS optimizer.

Introduction to Modern Portfolio Optimization with NuOPT, S-PLUS and S+Bayes

Business & Money

Martin, R. Douglas

Scherer, Bernd

Economics

Springer

A new edition of this popular text on robust statistics, thoroughly updated to include new and improved methods and focus on implementation of methodology using the increasingly popular open-source software R. Classical statistics fail to cope well with outliers associated with deviations from standard distributions. Robust statistical methods take into account these deviations when estimating the parameters of parametric models, thus increasing the reliability of fitted models and associated inference. This new, second edition of Robust Statistics: Theory and Methods (with R) presents a broad coverage of the theory of robust statistics that is integrated with computing methods and applications. Updated to include important new research results of the last decade and focus on the use of the popular software package R, it features in-depth coverage of the key methodology, including regression, multivariate analysis, and time series modeling. The book is illustrated throughout by a range of examples and applications that are supported by a companion website featuring data sets and R code that allow the reader to reproduce the examples given in the book. Unlike other books on the market, Robust Statistics: Theory and Methods (with R) offers the most comprehensive, definitive, and up-to-date treatment of the subject. It features chapters on estimating location and scale; measuring robustness; linear regression with fixed and with random predictors; multivariate analysis; generalized linear models; time series; numerical algorithms; and asymptotic theory of M-estimates. <ul>
<li>Explains both the use and theoretical justification of robust methods</li> <li>Guides readers in selecting and using the most appropriate robust methods for their problems</li> <li>Features computational algorithms for the core methods</li> </ul>
Robust statistics research results of the last decade included in this 2nd edition include: fast deterministic robust regression, finite-sample robustness, robust regularized regression, robust location and scatter estimation with missing data, robust estimation with independent outliers in variables, and robust mixed linear models. Robust Statistics aims to stimulate the use of robust methods as a powerful tool to increase the reliability and accuracy of statistical modelling and data analysis. It is an ideal resource for researchers, practitioners, and graduate students in statistics, engineering, computer science, and physical and social sciences.

Robust Statistics: Theory and Methods (with R) (Wiley Series in Probability and Statistics)

Science & Math

Maronna, Ricardo A.

Yohai, Victor J.

Salibián-Barrera, Matías

Mathematics

wiley

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