LEADER 05475nam 2200757Ia 450 001 9910828896703321 005 20200520144314.0 010 $a0-19-770283-X 010 $a0-19-988719-5 010 $a1-281-16231-0 010 $a9786611162313 010 $a0-19-971579-3 010 $a1-4356-3890-5 024 7 $a10.1093/oso/9780195331912.001.0001 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(OCoLC)1406784725 035 $a(StDuBDS)9780197702833 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 /$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 $aFormerly CIP.$5Uk 300 $aPreviously issued in print: 2008. 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 8 $aUsing practical examples and illustrations, Richard Michaud provides an update to the practice of optimization of modern investment management. 410 0$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-$01707362 701 $aMichaud$b Robert O$01707363 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910828896703321 996 $aEfficient asset management: a practical guide to stock portfolio optimization and asset allocation$94095531 997 $aUNINA