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Efficient asset management: a practical guide to stock portfolio optimization and asset allocation [[electronic resource] /] / Richard O. Michaud and Robert O. Michaud
| Efficient asset management: a practical guide to stock portfolio optimization and asset allocation [[electronic resource] /] / Richard O. Michaud and Robert O. Michaud |
| Autore | Michaud Richard O. <1941-> |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | New York, : Oxford University Press, 2008 |
| Descrizione fisica | 1 online resource (145 p.) |
| Disciplina | 332.6 |
| Altri autori (Persone) | MichaudRobert O |
| Collana | Financial management association survey and synthesis series |
| Soggetto topico |
Investment analysis - Mathematical models
Portfolio management - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
0-19-988719-5
1-281-16231-0 9786611162313 0-19-971579-3 1-4356-3890-5 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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 Frontiers
Appendix: 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 Rank-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 Monitoring Resampled 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 ConclusionsAppendix: 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 Total and Variable Pension Liabilities |
| Record Nr. | UNINA-9910451508403321 |
Michaud Richard O. <1941->
|
||
| New York, : Oxford University Press, 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Efficient asset management: a practical guide to stock portfolio optimization and asset allocation [[electronic resource] /] / Richard O. Michaud and Robert O. Michaud
| Efficient asset management: a practical guide to stock portfolio optimization and asset allocation [[electronic resource] /] / Richard O. Michaud and Robert O. Michaud |
| Autore | Michaud Richard O. <1941-> |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | New York, : Oxford University Press, 2008 |
| Descrizione fisica | 1 online resource (145 p.) |
| Disciplina | 332.6 |
| Altri autori (Persone) | MichaudRobert O |
| Collana | Financial management association survey and synthesis series |
| Soggetto topico |
Investment analysis - Mathematical models
Portfolio management - Mathematical models |
| ISBN |
0-19-770283-X
0-19-988719-5 1-281-16231-0 9786611162313 0-19-971579-3 1-4356-3890-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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 Frontiers
Appendix: 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 Rank-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 Monitoring Resampled 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 ConclusionsAppendix: 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 Total and Variable Pension Liabilities |
| Record Nr. | UNINA-9910778237603321 |
|
Michaud Richard O. <1941->
|
||
| New York, : Oxford University Press, 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||