LEADER 05815nam 2200709Ia 450 001 9910778237603321 005 20230721032033.0 010 $a0-19-770283-X 010 $a0-19-988719-5 010 $a1-281-16231-0 010 $a9786611162313 010 $a0-19-971579-3 010 $a1-4356-3890-5 035 $a(CKB)1000000000483532 035 $a(EBL)415262 035 $a(OCoLC)437093343 035 $a(SSID)ssj0000144631 035 $a(PQKBManifestationID)11139801 035 $a(PQKBTitleCode)TC0000144631 035 $a(PQKBWorkID)10145716 035 $a(PQKB)11119720 035 $a(Au-PeEL)EBL415262 035 $a(CaPaEBR)ebr10211753 035 $a(CaONFJC)MIL116231 035 $a(MiAaPQ)EBC415262 035 $a(EXLCZ)991000000000483532 100 $a20070604d2008 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aEfficient asset management: a practical guide to stock portfolio optimization and asset allocation$b[electronic resource] /$fRichard O. Michaud and Robert O. Michaud 205 $a2nd ed. 210 $aNew York $cOxford University Press$d2008 215 $a1 online resource (145 p.) 225 1 $aFinancial management association survey and synthesis series 300 $aDescription based upon print version of record. 311 $a0-19-533191-5 320 $aIncludes bibliographical references (p. ) and index. 327 $aContents; 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 Frontiers 327 $aAppendix: 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 Variance 327 $aRank-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 ?-Associated RE Portfolios; Appendix B: Robert's Hedgehog; 7 Portfolio Rebalancing, Analysis, and Monitoring 327 $aResampled 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 Caveats 327 $aConclusionsAppendix: 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 Liabilities 327 $aTotal and Variable Pension Liabilities 330 $aIn spite of theoretical benefits, Markowitz mean-variance (MV) optimized portfolios often fail to meet practical investment goals of marketability, usability, and performance, prompting many investors to seek simpler alternatives. Financial experts Richard and Robert Michaud demonstrate that the limitations of MV optimization are not the result of conceptual flaws in Markowitz theory but unrealistic representation of investment information. What is missing is a realistic treatment of estimation error in the optimization and rebalancing process. The text provides a non-technical review of class 410 0$aFinancial Management Association survey and synthesis series. 606 $aInvestment analysis$xMathematical models 606 $aPortfolio management$xMathematical models 615 0$aInvestment analysis$xMathematical models. 615 0$aPortfolio management$xMathematical models. 676 $a332.6 700 $aMichaud$b Richard O.$f1941-$01543041 701 $aMichaud$b Robert O$01543042 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910778237603321 996 $aEfficient asset management: a practical guide to stock portfolio optimization and asset allocation$93796317 997 $aUNINA