Efficient asset management : a practical guide to stock portfolio optimization and asset allocation / Richard O. Michaud.
By: Michaud, Richard O
Material type: 
TextLanguage: English Series: Financial Management Association survey and synthesis seriesPublisher: Boston, Mass. : Harvard Business School Press, c1998Description: xvii, 152 p. : ill. ; 25 cmISBN: 0875847439 (alk. paper)Subject(s): Investment analysis -- Mathematical models | Portfolio management -- Mathematical modelsDDC classification: 332.6 LOC classification: HG4529 | .M53 1998Online resources: Publisher description | Table of contents only | Contributor biographical information | WorldCat Details | Item type | Current location | Collection | Call number | Copy number | Status | Date due | Barcode | Item holds |
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Text
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EWU Library Reserve Section | Non-fiction | 332.6 MIE (Browse shelf) | C-1 | Not For Loan | 7063 |
Online version:
Michaud, Richard O., 1941-
Efficient asset management.
Boston, Mass. : Harvard Business School Press, c1998
(OCoLC)664502645
Includes index.
Table of contents Markowitz Efficiency --
An Asset Management Tool --
Traditional Objections --
The Most Important Limitations --
Resolving the Limitations of Mean-Variance Optimization --
Illustrating the Techniques --
Classic Mean-Variance Optimization --
Portfolio Risk and Return --
Defining Markowitz Efficiency --
Optimization Constraints --
The Residual Risk-Return Efficient Frontier --
Computational Algorithms --
Asset Allocation versus Equity Portfolio Optimization --
A Global Asset Allocation Example --
Reference Portfolios and Portfolio Analysis --
Return Premium Efficient Frontiers --
Mathematical Formulation of Mean-Variance Efficiency --
Traditional Criticisms and Alternatives --
Alternative Measures of Risk --
Utility Function Optimization --
Multiperiod Investment Horizons --
Asset-Liability Financial Planning Studies --
Linear Programming Optimization --
Understanding Mean-Variance Efficiency --
The Fundamental Limitations of Mean-Variance Efficiency --
Repeating Jobson and Korkie --
Implications of Jobson and Korkie Analysis --
The Statistical Character of Mean-Variance Efficiency --
Efficient Frontier Variance --
The Statistical Equivalence Region --
A Practical Investment Tool? --
Portfolio Review and Mean-Variance Efficiency --
Portfolio Review and Statistical Inference --
Tests of Asset Pricing Models --
Heuristic Inference --
A Sample Acceptance Region --
Statistical Inference for a Target Efficient Portfolio --
Rank-Associated Efficient Portfolios --
Portfolio Analysis and the Resampled Efficient Frontier.
Business Administration
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