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Books > Business & Economics > Finance & accounting > Finance > Investment & securities > Stocks & shares
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Efficient Asset Management - A Practical Guide to Stock Portfolio Optimization and Asset Allocation (Hardcover, 2nd Revised edition)
Loot Price: R2,119
Discovery Miles 21 190
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Efficient Asset Management - A Practical Guide to Stock Portfolio Optimization and Asset Allocation (Hardcover, 2nd Revised edition)
Series: Financial Management Association Survey and Synthesis Series
Expected to ship within 12 - 19 working days
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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 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(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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