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Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation [With CDROM] (Financial Management Association Survey and Synthesis Series) - Hardcover
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Inhaltsangabe
Now in its second edition, this book presents a highly intuitive yet rigorous approach to defining optimal portfolios.
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Über die Autorin bzw. den Autor
Richard O. Michaud is President and Chief Investment Officer at New Frontier Advisors. His research and consulting has focused on asset allocation, investment strategies, global investment management, optimization, stock valuation, portfolio analysis, and trading costs. He is co-inventor and patentee of Resampled Efficiency optimization. He earned a Ph.D. in Mathematics from Boston University and taught investment management at Columbia University.
Robert O. Michaud, the co-inventor of the patented portfolio optimization processes, is the Managing Director of Research and Development at New Frontier Advisors. Mr. Michaud holds a Masters in Mathematics from Boston University and pursued a Ph.D. in finance from the Anderson School of Management at the University of California at Los Angeles before joining NFA. His research interests include risk models, empirical asset pricing, and international finance.
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Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation
Verlag:
Oxford University Press Inc, 2008
ISBN 10: 0195331915
ISBN 13: 9780195331912
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Anbieter: World of Books (was SecondSale), Montgomery, IL, USA
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Hardback. Zustand: Good. 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 classical Markowitz optimization and traditional objections. The authors demonstrate that in practice the single most important limitation of MV optimization is oversensitivity to estimation error. Portfolio optimization requires a modern statistical perspective. Efficient Asset Management, Second Edition uses Monte Carlo resampling to address information uncertainty and define Resampled Efficiency (RE) technology. RE optimized portfolios represent a new definition of portfolio optimality that is more investment intuitive, robust, and provably investment effective. RE rebalancing provides the first rigorous portfolio trading, monitoring, and asset importance rules, avoiding widespread ad hoc methods in current practice.The Second Edition resolves several open issues and misunderstandings that have emerged since the original edition. The new edition includes new proofs of effectiveness, substantial revisions of statistical estimation, extensive discussion of long-short optimization, and new tools for dealing with estimation error in applications and enhancing computational efficiency. RE optimization is shown to be a Bayesian-based generalization and enhancement of Markowitz's solution. RE technology corrects many current practices that may adversely impact the investment value of trillions of dollars under current asset management. RE optimization technology may also be useful in other financial optimizations and more generally in multivariate estimation contexts of information uncertainty with Bayesian linear constraints.Michaud and Michaud's new book includes numerous additional proposals to enhance investment value including Stein and Bayesian methods for improved input estimation, the use of portfolio priors, and an economic perspective for asset-liability optimization. Applications include investment policy, asset allocation, and equity portfolio optimization. A simple global asset allocation problem illustrates portfolio optimization techniques. A final chapter includes practical advice for avoiding simple portfolio design errors.With its important implications for investment practice, Efficient Asset Management's highly intuitive yet rigorous approach to defining optimal portfolios will appeal to investment management executives, consultants, brokers, and anyone seeking to stay abreast of current investment technology. Through practical examples and illustrations, Michaud and Michaud update the practice of optimization for modern investment management.This edition includes a CD that contains a demo of the patented, internet-based optimization software created by the authors at their consulting firm, New Frontier Advisors. Artikel-Nr. 00106216740
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Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation [With CDROM]
Verlag:
Oxford University Press, 2008
ISBN 10: 0195331915
ISBN 13: 9780195331912
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Hardcover. Zustand: Very Good. No Jacket. May have limited writing in cover pages. Pages are unmarked. ~ ThriftBooks: Read More, Spend Less. Artikel-Nr. G0195331915I4N00
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Efficient Asset Management : A Practical Guide to Stock Portfolio Optimization and Asset Allocation
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Oxford University Press, Incorporated, 2008
ISBN 10: 0195331915
ISBN 13: 9780195331912
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Zustand: Very Good. 2nd Edition. Former library copy. Pages intact with possible writing/highlighting. Binding strong with minor wear. Dust jackets/supplements may not be included. Includes library markings. Stock photo provided. Product includes identifying sticker. Better World Books: Buy Books. Do Good. Artikel-Nr. 18483536-6
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Efficient Asset Management A Practical Guide to Stock Portfolio Optimization and Asset Allocation 2/e: A Practical Guide to Stock Portfolio . Management Association Survey and Synthesis)
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Hardcover. Zustand: Very Good. Efficient Asset Management A Practical Guide to Stock Portfolio Optimization and Asset Allocation 2/e: A Practical Guide to Stock Portfolio . Management Association Survey and Synthesis) This book is in very good condition and will be shipped within 24 hours of ordering. The cover may have some limited signs of wear but the pages are clean, intact and the spine remains undamaged. This book has clearly been well maintained and looked after thus far. Money back guarantee if you are not satisfied. See all our books here, order more than 1 book and get discounted shipping. Artikel-Nr. 7719-9780195331912
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Efficient Asset Management A Practical Guide to Stock Portfolio Optimization and Asset Allocation 2/e: A Practical Guide to Stock Portfolio . Management Association Survey and Synthesis)
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Hardcover. Zustand: Very Good. Shipped within 24 hours from our UK warehouse. Clean, undamaged book with no damage to pages and minimal wear to the cover. Spine still tight, in very good condition. Remember if you are not happy, you are covered by our 100% money back guarantee. Artikel-Nr. 6545-9780195331912
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Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation [With CDROM] (Financial Management Association Survey and Synthesis Series)
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hardcover. Zustand: Gut. 128 Seiten; 9780195331912.3 Gewicht in Gramm: 500. Artikel-Nr. 1057947
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Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation (Financial Management Association Survey and Synthesis)
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Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation
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Hardcover. Zustand: Brand New. 2nd hardback/cd-rom edition. 128 pages. 9.50x6.25x0.75 inches. In Stock. Artikel-Nr. x-0195331915
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Efficient Asset Management
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Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation [With CDROM] (Financial Management Association Survey and Synthesis Series) Michaud Richard, O. und O. Michaud Robert
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Zustand: gut. 2008. Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation [With CDROM] (Financial Management Association Survey and Synthesis Series) In englischer Sprache. pages. Artikel-Nr. BN351463
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