Efficient asset management : a practical guide to stock portfolio optimization and asset allocation /

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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 lim...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Michaud, Richard O., 1941-
Otros Autores: Michaud, Robert O.
Formato: Electrónico eBook
Idioma:Inglés
Publicado: New York : Oxford University Press, 2008.
Edición:2nd ed.
Colección:Financial Management Association survey and synthesis series.
Temas:
Investment analysis > Mathematical models.
Portfolio management > Mathematical models.
Analyse financière > Modèles mathématiques.
Gestion de portefeuille > Modèles mathématiques.
BUSINESS & ECONOMICS > Investments & Securities > General.
Investment analysis > Mathematical models
Portfolio management > Mathematical models
Finanzanalyse
Mathematisches Modell
Portfolio Selection
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 1 Introduction; 2 Classic Mean-Variance Optimization; 3 Traditional Criticisms and Alternatives; 4 Unbounded MV Portfolio Efficiency; 5 Linear Constrained MV Efficiency; 6 The Resampled Efficient Frontier?; 7 Portfolio Rebalancing, Analysis, and Monitoring; 8 Input Estimation and Stein Estimators; 9 Benchmark Mean-Variance Optimization; 10 Investment Policy and Economic Liabilities; 11 Bayes and Active Return Estimation; 12 Avoiding Optimization Errors; Epilogue; Bibliography; Index.

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