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Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation (Financial Management Association Survey
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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 (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 simple global asset allocation problem illustrates portfolio optimization techniques. A final chapter includes practical advice for avoiding simple portfolio design errors.
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.
This edition includes a CD that contains a demo of the patented, internet-based optimization software created by the authors at their consulting firm, New Frontier Advisors, which has been chosen to cosponsor the new Harry M. Markowitz Award.
- Sales Rank: #1422280 in eBooks
- Published on: 1998-06-15
- Released on: 1998-06-15
- Format: Kindle eBook
Review
"Michaud focuses on the fact that sampling errors in input estimates can have extreme effects on the portfolios produced by a mean-variance analysis. While some may debate his conclusions, everyone should understand the problem as Michaud so ably presents it and his proposed solution to it. This is a must-read, must-think-about book."--Harry M. Markowitz, Nobel Laureate, Economics, 1990
"In his long-standing tradition, Michaud once again pushes the envelope of mean-variance optimization. Quantitative analysts of all stripes will enjoy his work. Resampling is bound to be of growing interest."--Kenneth L. Fisher, Chairman & CEO, Fisher Investments, Inc.;Forbes Portfolio Strategy Columnist; and MarketPlace Commentator, Public Radio International
"Efficient Asset Management is essential reading for all investment managers. Michaud persuasively and eloquently shows that portfolio management is an inherently statistical task and is therefore subject to significant sampling error. More important, he provides a new tool, the resampling efficient frontier, for mitigating the problem. Michaud's tour de force is a rare example of a product with genuine merit for all investors."--Richard Roll, Allstate Chair in Finance and Insurance, John E. Anderson Graduate School of Management, UCLA
"This book is a delightfully sophisticated yet practical introduction to portfolio management that will appeal to industry professionals as well as finance students."--Andrew W. Lo, Harris & Harris Group Professor and Director of the Laboratory for Financial Engineering, MIT
"Efficient Asset Management offers an exciting and innovative approach to asset construction that builds on the established literature. It provides the practitioner with a new dimension for incorporating value-added investment judgments in the portfolio-building process. Readable and useful, this book makes a significant contribution to better portfolio management."--Gary P. Brinson, President, Brinson Partners, Inc.
About the Author
Richard O. Michaud is President and Chief Investment Officer at New Frontier Advisors. His research and consulting has focused on asset allocation, investment strategies, global investment management, optimization, stock valuation, portfolio analysis, and trading costs. He is co-inventor and patentee of Resampled Efficiency optimization. He earned a Ph.D. in Mathematics from Boston University and taught investment management at Columbia University.
Robert O. Michaud, the co-inventor of the patented portfolio optimization processes, is the Managing Director of Research and Development at New Frontier Advisors. Mr. Michaud holds a Masters in Mathematics from Boston University and pursued a Ph.D. in finance from the Anderson School of Management at the University of California at Los Angeles before joining NFA. His research interests include risk models, empirical asset pricing, and international finance.
Most helpful customer reviews
18 of 18 people found the following review helpful.
Not for the asset allocation user (vs. creator)
By Ronald Byrd
I would agree with the comments of the first 2 reviewers. That is, the book is honest, concise and thorough in addressing the pitfalls of using Mean-Variance optimization techniques for finding optimum asset allocations (i.e., minimum risk for given expected return). However, if you don't do your own asset allocation calculations (i.e., process historical trends to find the "efficient frontier") the only value of the book is to make you aware of the issues around using Markowitz mean-variance techniques and, therefore, be questioning of any asset allocation models you come across. In other words, for the user (vs. creator) of asset allocation models be aware that if the creator wasn't careful in his statistical techniques the models could be wrong. Also, what I also got out of the book was, in many cases, rebalancing of a portfolio may not be needed as frequently as many suppose as the efficient frontier is more of a cloud then a line.
4 of 5 people found the following review helpful.
Suboptimal
By Rats
Actually the author does lead a consulting firm, as possibly conjectured by the last reviewer. No wonder his lack of clarity in the how-to phase.
For interested readers, Scherer has a good explanation of how resampling actually works. He also claims, in my view rightly, that Bayesian optimization is much better ... pity that commercial software is not as readily available as in standard portfolio optimization.
Anyway, overall I agree with the judgments of earlier reviews: the book is good as a reminder of the weaknesses in standard optimization, but the solutions it proposes are suboptimal. Read Scherer instead for theory, although implementation isn't any easier and price is even worse.
2 of 6 people found the following review helpful.
Required Reading for Sophisticated Investors
By Anne e Nonomous
This is an excellent book for the readers with solid quant skills. This is not a course in investing for poets. So be honest with yourself about your capabilities and needs.
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