{"product_id":"efficient-asset-management-a-practical-guide-to-stock-portfolio-optimization-and-asset-allocation-with-cdrom-9780195331912","title":"Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation [With CDROM]","description":"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\u003cbr\u003ethe 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. \u003cp\u003e\u003c\/p\u003eThe 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\u003cbr\u003eperspective. \u003cem\u003eEfficient Asset Management, Second Edition\u003c\/em\u003e 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\u003cbr\u003einvestment effective. RE rebalancing provides the first rigorous portfolio trading, monitoring, and asset importance rules, avoiding widespread ad hoc methods in current practice. \u003cp\u003e\u003c\/p\u003eThe 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\u003cbr\u003eestimation 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\u003cbr\u003ecurrent 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. \u003cp\u003e\u003c\/p\u003eMichaud 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, \u003cbr\u003easset 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. \u003cp\u003e\u003c\/p\u003eWith its important implications for investment practice, \u003cem\u003eEfficient Asset Management\u003c\/em\u003e '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.\u003cbr\u003eThrough practical examples and illustrations, Michaud and Michaud update the practice of optimization for modern investment management.\u003cbr\u003e\u003cbr\u003e\u003cbr\u003e\u003cb\u003eAuthor:\u003c\/b\u003e Richard O. Michaud, Robert O. Michaud\u003cbr\u003e\u003cb\u003ePublisher:\u003c\/b\u003e Oxford University Press, USA\u003cbr\u003e\u003cb\u003ePublished:\u003c\/b\u003e 12\/01\/2007\u003cbr\u003e\u003cb\u003ePages:\u003c\/b\u003e 144\u003cbr\u003e\u003cb\u003eBinding Type:\u003c\/b\u003e Hardcover\u003cbr\u003e\u003cb\u003eWeight:\u003c\/b\u003e 0.89lbs\u003cbr\u003e\u003cb\u003eSize:\u003c\/b\u003e 9.26h x 6.38w x 0.64d\u003cbr\u003e\u003cb\u003eISBN:\u003c\/b\u003e 9780195331912\u003cbr\u003e\u003cp\u003e\u003cb\u003eAbout the Author\u003c\/b\u003e\u003cbr\u003e\u003cbr\u003e\u003cstrong\u003eRichard O. Michaud\u003c\/strong\u003e 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. \u003c\/p\u003e\u003cp\u003e\u003c\/p\u003e\u003cstrong\u003eRobert O. Michaud, \u003c\/strong\u003e 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.\u003cbr\u003e\u003cbr\u003e","brand":"Oxford University Press, USA","offers":[{"title":"Hardcover","offer_id":39959067295859,"sku":"9.7802E+12","price":68.95,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0555\/9255\/0515\/products\/img_0d6673ff-1044-432d-b5b8-727b8f31ea7a.jpg?v=1648740652","url":"https:\/\/bookstorenmore.com\/en-de\/products\/efficient-asset-management-a-practical-guide-to-stock-portfolio-optimization-and-asset-allocation-with-cdrom-9780195331912","provider":"Bookstore N More","version":"1.0","type":"link"}