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Portfolio OptimiSation with S+ NUOPT

Date: Wednesday, 23 April, 2008
Time: 8:30AM - 12:00PM
Price:
$198 - inclusive of GST

Course Description

This short course will show you how to get started using NuOptTM, the optimization package that comes with S-PLUS, for portfolio optimization.  You will be given the opportunity to write code in S and SIMPLE, the modeling language used by NuOptTM.

Course Outline 

  • mean-variance portfolios and optimizing utility
  • building an efficient frontier
  • long-short portfolios
  • buy-in thresholds
  • using factor models
After this course participants will be well equipped to solve a variety of practical problems, and the source code for all examples and exercises will be provided

Bookings: please call 02 9233 6888 or email enquiries@solutionmetrics.com.au

About the Presenter: Dr. David Basterfield has recently joined Insightful Corporation in Seattle as a Senior Financial Engineer, where he is involved with the on-going development of the S+Finmetrics package in S-Plus, and for developing financial solutions based on these tools.  Dr Basterfield has a Ph. D. in Decision Theory, an MS in Computational Finance and an MBA.  He was the Director of the Computational Finance program at Oregon Health & Sciences University, where he taught from 1999 – 2003, and Associate Professor of Finance at Hillsdale College, from 2004 to 2007.  His research interests include derivatives pricing, risk management and optimization methods. Before coming to the USA in 1998, Dr Basterfield worked as a systems architect for CRI, a consultancy company in Luxembourg, whose main client is the European Commission.  In his 18 year association with the Commission, Dr Basterfield was involved in many major projects.  In particular, he helped design and develop the foreign trade database, their largest information system.