Format:
1 online resource (145 pages)
Edition:
2nd ed.
ISBN:
9780195331912
,
9780199715794
Series Statement:
Financial Management Association Survey and Synthesis Series
Content:
Efficient Asset Management, now in its second edition, presents a highly intuitive yet rigorous approach to defining optimal portfolios. Through practical examples and illustrations, the authors, whose firm has been chosen to cosponsor the new Harry M. Markowitz Award, update the practice of optimization for modern investment management
Note:
Intro -- 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 Efficiency -- 3 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 Portfolios -- How Practical an Investment Tool? -- 6 The Resampled Efficient Frontier& -- #153 -- -- 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 andamp -- #955 -- -Associated RE Portfolios -- Appendix B: Robert's Hedgehog
,
7 Portfolio Rebalancing, Analysis, and Monitoring -- Resampled Efficiency and Distance Functions -- Portfolio 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 -- Conclusions -- Appendix: 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 -- Economic Significance of Variable Liabilities -- Economic Characteristics of VBO Liabilities -- An Example: Economic Liability Pension Investment Policy -- Past and Future of Defined Benefit Pension Plans -- Conclusion -- 11 Bayes and Active Return Estimation -- Current Practices -- Bayes Principles -- The Bayes Return Formula -- A Bayes Panel Illustration -- Bayesian Mixed Estimation Issues -- Enhanced Inputs or Enhanced Optimizer -- Bayesian Caveats -- 12 Avoiding Optimization Errors -- Scaling Inputs -- Financial Reality
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Liquidity Factors -- Practical Constraint Issues -- Biased Portfolio Characteristics -- Index Funds and Optimizers -- Optimization from Cash -- Forecast Return Limitations -- Conclusion -- Epilogue -- Bibliography -- Index -- A -- B -- C -- D -- E -- F -- G -- H -- I -- J -- K -- L -- M -- N -- O -- P -- Q -- R -- S -- T -- U -- V.
Additional Edition:
Print version Michaud, Richard O. Efficient Asset Management Oxford : Oxford University Press, Incorporated,c2008 ISBN 9780195331912
Language:
English
Keywords:
Electronic books
URL:
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