Efficient Asset Management

With clear definitions and real-world examples, Efficient Asset Management illuminates highly intuitive yet rigorous new approaches to defining optimal portfolios that will appeal to investment management executives, financial consultants, brokers, fund trustees, and everyone seeking to stay abreast of current investment techniques. Drawing on his original research, Michaud proposes a new, more effective approach to defining portfolio efficiency. In addition, he identifies and explains a number of powerful techniques - including the statistical analysis of optimized portfolios, improved input estimation, the definition and use of portfolio priors, the integration of forecasts with historical data, and tests for portfolio revisions - that managers can use to enhance the value of their optimized portfolios. He illustrates the impact of each method through a simple asset allocation problem, providing readers with a practical, hands-on perspective of the procedures detailed throughout Efficient Asset Management.

First sentence: Markowitz (1959) mean-variance (MV) efficiency is the classic paradigm of modern finance for effeciently allocating capital among risky assets.

Year

1998

Language

English

Publisher

Oxford University Press, USA

Editions

2

Pages

152

ISBN

9780875847436

Data source: Wikidata