Efficient Asset Management : A Practical Guide to Stock Portfolio Optimization and Asset Allocation
Michaud, Richard O.; Michaud, Robert O.
Language: English
Published by Oxford University Press, 2008
Series: Book 12 of 26 - Financial Management Association Survey and Synthesis
- Hardcover
- New
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- Title
- Efficient Asset Management : A Practical Guide to Stock Portfolio Optimization and Asset Allocation
- Author
- Michaud, Richard O.; Michaud, Robert O.
- Publisher
- Oxford University Press
- Publication year
- 2008
- Condition
- New
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 0195331915
- ISBN 13
- 9780195331912
- Edition
- 2nd Edition
- Series
- Book 12 of 26: Financial Management Association Survey and Synthesis
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(TM) (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 final chapter includes practical advice for avoiding simple portfolio design errors.
A simple global asset allocation problem illustrates portfolio optimization techniques. The presentation is intuitive, rigorous and informed with institutional management experience to appeal to investment management executives, consultants, fund trustees, brokers, academics, and anyone seeking to stay abreast of the future of investment technology.
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.
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About the Author
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 PhD 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.
"About the title" may belong to another edition of this title.
GreatBookPrices
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