New Portfolio Optimization Techniques Using NuOpt for S-PLUS

Presented: Wednesday, February 26, 2003
11:00 a.m. ET

Speaker: Dr. Bernd Scherer, Head of Investment Solutions Europe, Deutsche Asset Management

Listen to the archived webcast.

NUOPT for S-PLUS gives Asset Management professionals a unique and flexible platform for addressing some of the industry’s longest-standing large-scale, non-linear portfolio construction issues. This workshop will enable a wider audience to benefit from these advanced methods by showing more natural and intuitive ways of defining portfolio optimization problems. Participants will see real-word examples of

• Mean variance optimization
  
• Scenario optimization
  
• Weighted semivariance optimization
  
• Portfolio construction using integer variables (buy in thresholds, cardinality constraints)

These applications represent a subset of the many solutions NUOPT supports, which will be further described in the forthcoming book “Portfolio Optimization Using NUOPT™ For S-PLUS®” by Bernd Scherer and Doug Martin (2003), Springer New York. Participants will receive the outline and a draft version of chapter 1 of this book.