05475nam 2200757Ia 450 991082889670332120200520144314.00-19-770283-X0-19-988719-51-281-16231-097866111623130-19-971579-31-4356-3890-510.1093/oso/9780195331912.001.0001(CKB)1000000000483532(EBL)415262(OCoLC)437093343(SSID)ssj0000144631(PQKBManifestationID)11139801(PQKBTitleCode)TC0000144631(PQKBWorkID)10145716(PQKB)11119720(Au-PeEL)EBL415262(CaPaEBR)ebr10211753(CaONFJC)MIL116231(MiAaPQ)EBC415262(OCoLC)1406784725(StDuBDS)9780197702833(EXLCZ)99100000000048353220070604d2008 uy 0engur|n|---|||||txtccrEfficient asset management: a practical guide to stock portfolio optimization and asset allocation /Richard O. Michaud and Robert O. Michaud2nd ed.New York Oxford University Press20081 online resource (145 p.)Financial management association survey and synthesis seriesFormerly CIP.UkPreviously issued in print: 2008.0-19-533191-5 Includes bibliographical references (p. ) and index.Contents; 1 Introduction; Markowitz Efficiency; An Asset Management Tool; Traditional Objections; The Most Important Limitations; Resolving the Limitations of Mean-Variance Optimization; Illustrating the Techniques; 2 Classic Mean-Variance Optimization; Portfolio Risk and Return; Defining Markowitz Efficiency; Optimization Constraints; The Residual Risk-Return Efficient Frontier; Computer Algorithms; Asset Allocation Versus Equity Portfolio Optimization; A Global Asset Allocation Example; Reference Portfolios and Portfolio Analysis; Return Premium Efficient FrontiersAppendix: Mathematical Formulation of MV Efficiency3 Traditional Criticisms and Alternatives; Alternative Measures of Risk; Utility Function Optimization; Multiperiod Investment Horizons; Asset-Liability Financial Planning Studies; Linear Programming Optimization; 4 Unbounded MV Portfolio Efficiency; Unbounded MV Optimization; The Fundamental Limitations of Unbounded MV Efficiency; Repeating Jobson and Korkie; Implications of Jobson and Korkie Analysis; Statistical MV Efficiency and Implications; 5 Linear Constrained MV Efficiency; Linear Constraints; Efficient Frontier VarianceRank-Associated Efficient PortfoliosHow Practical an Investment Tool?; 6 The Resampled Efficient FrontierTM; Efficient Frontier Statistical Analysis; Properties of Resampled Efficient Frontier Portfolios; True and Estimated Optimization Inputs; Simulation Proofs of Resampled Efficiency Optimization; Why Does It Work; Certainty Level and RE Optimality; FC Level Applications; The REF Maximum Return Point (MRP); Implications for Asset Management; Conclusion; Appendix A: Rank- Versus λ-Associated RE Portfolios; Appendix B: Robert's Hedgehog; 7 Portfolio Rebalancing, Analysis, and MonitoringResampled Efficiency and Distance FunctionsPortfolio Need-to-Trade Probability; Meta-Resampling Portfolio Rebalancing; Portfolio Monitoring and Analysis; Conclusion; Appendix: Confidence Region for the Sample Mean Vector; 8 Input Estimation and Stein Estimators; Admissible Estimators; Bayesian Procedures and Priors; Four Stein Estimators; James-Stein Estimator; James-Stein MV Efficiency; Out-of-Sample James-Stein Estimation; Frost-Savarino Estimator; Covariance Estimation; Stein Covariance Estimation; Utility Functions and Input Estimation; Ad Hoc Estimators; Stein Estimation CaveatsConclusionsAppendix: Ledoit Covariance Estimation; 9 Benchmark Mean-Variance Optimization; Benchmark-Relative Optimization Characteristics; Tracking Error Optimization and Constraints; Constraint Alternatives; Roll's Analysis; Index Efficiency; A Simple Benchmark-Relative Framework; Long-Short Investing; Conclusion; 10 Investment Policy and Economic Liabilities; Misusing Optimization; Economic Liability Models; Endowment Fund Investment Policy; Pension Liabilities and Benchmark Optimization; Limitations of Actuarial Liability Estimation; Current Pension LiabilitiesTotal and Variable Pension LiabilitiesUsing practical examples and illustrations, Richard Michaud provides an update to the practice of optimization of modern investment management.Financial Management Association survey and synthesis series.Investment analysisMathematical modelsPortfolio managementMathematical modelsInvestment analysisMathematical models.Portfolio managementMathematical models.332.6Michaud Richard O.1941-1707362Michaud Robert O1707363MiAaPQMiAaPQMiAaPQBOOK9910828896703321Efficient asset management: a practical guide to stock portfolio optimization and asset allocation4095531UNINA