Efficient asset management : a practical guide to stock portfolio optimization and asset allocation / by Richard O. Michaud and Robert O. Michaud.
In spite of theoretical benefits, Markowitz mean-variance (MV) optimized portfolios often fail to meet practical investment goals of marketability, usability, and performance, prompting many investors to seek simpler alternatives. Financial experts Richard and Robert Michaud demonstrate that the lim...
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Full Text (via ProQuest) |
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| Main Author: | |
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| Format: | eBook |
| Language: | English |
| Published: |
New York :
Oxford University Press,
2008.
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| Edition: | 2nd ed. |
| Series: | Financial Management Association survey and synthesis series.
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| Subjects: |
MARC
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| 100 | 1 | |a Michaud, Richard O., |d 1941- | |
| 245 | 1 | 0 | |a Efficient asset management : |b a practical guide to stock portfolio optimization and asset allocation / |c by Richard O. Michaud and Robert O. Michaud. |
| 250 | |a 2nd ed. | ||
| 260 | |a New York : |b Oxford University Press, |c 2008. | ||
| 300 | |a 1 online resource (xvi, 128 pages) : |b illustrations. | ||
| 336 | |a text |b txt |2 rdacontent. | ||
| 337 | |a computer |b c |2 rdamedia. | ||
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| 347 | |a data file. | ||
| 490 | 1 | |a Financial Management Association survey and synthesis series. | |
| 504 | |a Includes bibliographical references (pages 119-124) and index. | ||
| 505 | 0 | |a 1 Introduction; 2 Classic Mean-Variance Optimization; 3 Traditional Criticisms and Alternatives; 4 Unbounded MV Portfolio Efficiency; 5 Linear Constrained MV Efficiency; 6 The Resampled Efficient Frontier?; 7 Portfolio Rebalancing, Analysis, and Monitoring; 8 Input Estimation and Stein Estimators; 9 Benchmark Mean-Variance Optimization; 10 Investment Policy and Economic Liabilities; 11 Bayes and Active Return Estimation; 12 Avoiding Optimization Errors; Epilogue; Bibliography; Index. | |
| 520 | |a In spite of theoretical benefits, Markowitz mean-variance (MV) optimized portfolios often fail to meet practical investment goals of marketability, usability, and performance, prompting many investors to seek simpler alternatives. Financial experts Richard and Robert Michaud demonstrate that the limitations of MV optimization are not the result of conceptual flaws in Markowitz theory but unrealistic representation of investment information. What is missing is a realistic treatment of estimation error in the optimization and rebalancing process. The text provides a non-technical review of class. | ||
| 546 | |a English. | ||
| 588 | 0 | |a Print version record. | |
| 650 | 0 | |a Investment analysis |x Mathematical models. | |
| 650 | 0 | |a Portfolio management |x Mathematical models. | |
| 650 | 7 | |a Investment analysis |x Mathematical models. |2 fast |0 (OCoLC)fst00978187. | |
| 650 | 7 | |a Portfolio management |x Mathematical models. |2 fast |0 (OCoLC)fst01072082. | |
| 700 | 1 | |a Michaud, Robert O. | |
| 776 | 0 | 8 | |i Print version: |a Michaud, Richard O., 1941- |t Efficient asset management. |b 2nd ed. |d New York : Oxford University Press, 2008 |z 9780195331912 |z 0195331915 |w (DLC) 2007020912 |w (OCoLC)138339873. |
| 830 | 0 | |a Financial Management Association survey and synthesis series. | |
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