Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation [Anglais] [Relié]

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. --Ce texte fait référence à l'édition Format Kindle .

The failure of optimized portfolios to meet their practical investment goals has prompted many portfolio managers to abandon optimization techniques for simpler alternatives to maximize asset value. Yet, according to financial expert Richard Michaud, readily available methods exist to help practitioners reduce instability and enhance the value of optimization--tools that the investment community has largely ignored. In his succinct new book, Michaud argues that the problems lies with the conventional perception of optimization as a numerical computation; this view has severely restricted the typical manager's understanding of inherent limitations--and resulted in optimized portfolios that frequently fall short of their potential. If, instead, managers approach optimization as a statistical estimation, Michaud argues, they can resolve many of the serious limitations. Michaud identifies and explains five powerful techniques--improved estimation, application of benchmark priors, integration of active forecasts, tests for efficiency, and tests for portfolio weights--that portfolio managers can use to reduce errors, increase precision, and enhance the value of seemingly optimized portfolios. He illustrates the impact of each method with a simple asset allocation problem. 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 updates the practice of optimization for modern investment management.