Efficient asset management : a practical guide to stock portfolio optimization and asset allocation / Richard O. Michaud.

By: Michaud, Richard O, 1941-
Material type: TextTextLanguage: 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
Contents:
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.
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Text Text EWU Library
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Non-fiction 332.6 MIE (Browse shelf) C-1 Not For Loan 7063
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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.

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