Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation

Michaud, Richard O.

ISBN 10: 0875847439 / ISBN 13: 9780875847436

Editore: Oxford University Press, 1998

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Dati bibliografici

• Titolo: Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation
• Editore: Oxford University Press
• Data di pubblicazione: 1998
• Lingua: Inglese
• ISBN 10: 0875847439
• ISBN 13: 9780875847436
• Rilegatura: hardcover
• Condizione: New

Descrizione articolo

Riassunto

This book describes the problems of mean-variance optimization as a practical tool of institutional asset management. It reviews various proposed alternatives to mean-variance optimization and describes their limitations. The goal is to define an optimization process that validly reflects investment insights while maintaining the rigor, informational breadth, and convenience that mean-variance optimization provides.

Informazioni sull?autore

Richard Michaud is a senior vice president of Acadian Asset Management in Boston, a director of the Institute for Quantitative Research in Finance, and an editorial board member of the Financial Analysts Journal.