Customer Reviews

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

5 star:		(3)
4 star:		(1)
3 star:		(0)
2 star:		(0)
1 star:		(0)

 

 

I will admit to being torn between four and five stars for this book. I ultimately deduct a star because of: the lack of any sign of the promised web registration key for downloading the 150 day trial software and data, the heavy use of NuOPT where vanilla S/R code would have been sufficient and possibly even easier to understand, and the frequent use by the authors of providing symbolic solutions from Scherer's 2000 book on optimization where implementation is "left as an excercise".

The book dispenses with traditional Markowitz mean-variance optimization in the first chapter, and then moves on to many other methods of optimization for different types of portfolios, asset classes, and investor utility functions. All of this is excellent, comprising the broadest treatment in a single title that I am aware of.

The book makes heavy use of NuOPT, an add-on package for S-Plus from Insightful, and the SIMPLE linear programming included with NuOPT. I was disappointed that the authors make no effort to work problems without NuOPT, even when simplex or other methods would solve the problems presented in more elegant manner.

I was most disappointed that the authors often leave implementation to the reader. Every chapter has "Exercises" at the end. This is fine. I don't think it is fine to discuss the symbolic solution of a problem (like several of the scenario optimization methods discussed in Chapter 5), and then leave as an excercise the implementation of those portfolio solutions in S-PLUS, SIMPLE, or NuOPT. Nearly every chapter has a significant section, usually lifted largely from Scherer's 2000 book, that suffers from this deficiency. It is almost as if the publishers were pushing for a draft, and the authors went through and "left as exercises" whatever they didn't have tested code for.

All my negatives left to the side, this is still the best treatment you'll find in a single title on many issues of portfolio optimization under varying conditions today. Buy this book if you work in portfolio optimization with S-Plus or R.

Some copies (especially used copies) of this book don't include the web registration key sticker. If you need it, you can contact Insightful Technical Support (keys at insightful dot com) to get a registration key and password.

The best book on this subject. It provides both an excellent up-to-date overview of the relevant literature and an application-oriented perspective. The chapter on robust estimation is outstanding.

I have got a very good and prompt service and response from Amazon for the book ordered.