Efficient asset management: a practical guide to stock portfolio optimization and asset allocation
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Boston, Mass.
Harvard Business School Press
1998
|
| Schriftenreihe: | Financial Management Association survey and synthesis series
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XVII, 152 S. graph. Darst. |
| ISBN: | 0875847439 |
Internformat
MARC
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| 100 | 1 | |a Michaud, Richard O. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Efficient asset management |b a practical guide to stock portfolio optimization and asset allocation |c Richard O. Michaud |
| 264 | 1 | |a Boston, Mass. |b Harvard Business School Press |c 1998 | |
| 300 | |a XVII, 152 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
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| 490 | 0 | |a Financial Management Association survey and synthesis series | |
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| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Investment analysis -- Mathematical models | |
| 650 | 4 | |a Portfolio management -- Mathematical models | |
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Datensatz im Suchindex
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|---|---|
| adam_text | Contents
Preface xiii
Chapter 1: Introduction 1
Markowitz Efficiency 1
An Asset Management Tool 2
Traditional Objections 3
The Most Important Limitations 3
Resolving the Limitations of Mean Variance Optimization 4
Illustrating the Techniques 5
Chapter 2: Classic Mean Variance Optimization 7
Portfolio Risk and Return 7
Defining Markowitz Efficiency 9
Optimization Constraints 9
The Residual Risk Return Efficient Frontier 10
Computational Algorithms 10
Asset Allocation versus Equity Portfolio Optimization 11
A Global Asset Allocation Example 13
Reference Portfolios and Portfolio Analysis 16
Return Premium Efficient Frontiers 16
Appendix: Mathematical Formulation of Mean Variance
Efficiency 20
Chapter 3: Traditional Criticisms and Alternatives 23
Alternative Measures of Risk 23
Utility Function Optimization 25
Multiperiod Investment Horizons 26
Asset Liability Financial Planning Studies 29
Linear Programming Optimization 31
viii Efficient Asset Management
Chapter 4: Understanding Mean Variance Efficiency 33
The Fundamental Limitations of Mean Variance Efficiency 33
Repeating Jobson and Korkie 35
Implications of Jobson and Korkie Analysis 36
The Statistical Character of Mean Variance Efficiency 36
Efficient Frontier Variance 36
The Statistical Equivalence Region 37
A Practical Investment Tool? 39
Chapter 5: Portfolio Review and Mean Variance
Efficiency 41
Portfolio Review and Statistical Inference 41
Tests of Asset Pricing Models 41
Heuristic Inference 42
A Sample Acceptance Region 42
Statistical Inference for a Target Efficient Portfolio 45
Rank Associated Efficient Portfolios 45
Chapter 6: Portfolio Analysis and the Resampled Efficient
Frontier 49
Conceptual Portfolio Statistical Analysis 49
Efficient Portfolio Statistical Analysis 49
The Resampled Efficient Frontier 55
True and Estimated Optimization Inputs 56
Testing Resampled Efficiency 56
Properties of Resampled Efficient Frontiers 60
Resampled Efficient Frontier Range 61
Caveats 61
Conclusion 62
Appendix: Resampled Efficiency Tests and Alternatives 63
Contents ix
Chapter 7: Portfolio Revision and Confidence Regions 71
Confidence Intervals and Regions 71
Resampled Efficiency and Distance Functions 72
Resampled Efficient Frontier Confidence Regions 73
Simultaneous Confidence Intervals 75
Examples of Simultaneous Confidence Intervals 76
Ambiguity and Portfolio Efficiency 77
Practical Considerations 79
Appendix A: Confidence Region for the Sample Mean Vector 80
Appendix B: Computing Confidence Regions and Simultaneous
Intervals 81
Chapter 8: Input Estimation and Stein Estimators 83
Admissible Estimators 84
Bayesian Procedures and Priors 84
Four Stein Estimators 85
James Stein Estimator 85
James Stein Mean Variance Efficiency 86
James Stein Estimator Test of Resampled and Mean Variance
Efficiency 90
Frost Savarino Estimator 93
Covariance Estimation 94
Stein Covariance Estimation 96
Forecasting Stock Risk and Return 97
Utility Functions and Input Estimation 97
Ad Hoc Estimators 98
Conclusions 98
Appendix: Ledoit Covariance Estimation 99
Chapter 9: Benchmark Active Asset Allocation 101
Benchmark Relative Active Asset Allocation 102
x Efficien t Asset Managemen t
Implied Return Asset Allocation 105
Comparing Implied Return and Benchmark Relative
Frontiers 109
Scaling and Implied Returns 109
Roll s Analysis 112
Additional Procedures 113
Chapter 10: Investment Policy and Economic Liabilities 115
Misusing Mean Variance Efficiency 115
Economic Liability Models 116
An Example: Endowment Fund Investment Policy 117
Pension Liabilities and Benchmark Optimization 117
Limitations of Actuarial Liability Estimation 118
Economic Significance of Variable Liabilities 120
Economic Characteristics of Variable Liabilities 121
An Example: Economic Liability Pension Investment Policy 122
Conclusion 126
Chapter 11: Return Forecasts and Mixed Estimation 127
Asset Allocation and Ad Hoc Inputs 127
Mixed Estimation Forecasts 128
Mixed Estimation Asset Allocation Inputs 128
Index Relative Active Asset Allocation 128
Benefits 130
Equity Return Forecasts and Mixed Estimation 130
Chapter 12: Avoiding Optimization Errors 133
Scaling Inputs 133
Financial Reality 135
Liquidity Factors 135
Constraints 135
Contents xi
Biased Portfolio Characteristics 136
Index Funds and Optimizers 137
Optimization from Cash 138
Forecast Return Limitations 139
Conclusion 140
Epilogue 141
Bibliography 143
Index 149
|
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| language | English |
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| spelling | Michaud, Richard O. Verfasser aut Efficient asset management a practical guide to stock portfolio optimization and asset allocation Richard O. Michaud Boston, Mass. Harvard Business School Press 1998 XVII, 152 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Financial Management Association survey and synthesis series Analyse financière - Modèles mathématiques Gestion de portefeuille - Modèles mathématiques Investeringen gtt Investimentos larpcal Portfolio-analyse gtt Wiskundige modellen gtt Mathematisches Modell Investment analysis -- Mathematical models Portfolio management -- Mathematical models Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Finanzanalyse (DE-588)4133000-6 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Finanzanalyse (DE-588)4133000-6 s Mathematisches Modell (DE-588)4114528-8 s DE-604 Portfolio Selection (DE-588)4046834-3 s HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008609199&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Michaud, Richard O. Efficient asset management a practical guide to stock portfolio optimization and asset allocation Analyse financière - Modèles mathématiques Gestion de portefeuille - Modèles mathématiques Investeringen gtt Investimentos larpcal Portfolio-analyse gtt Wiskundige modellen gtt Mathematisches Modell Investment analysis -- Mathematical models Portfolio management -- Mathematical models Mathematisches Modell (DE-588)4114528-8 gnd Finanzanalyse (DE-588)4133000-6 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| subject_GND | (DE-588)4114528-8 (DE-588)4133000-6 (DE-588)4046834-3 |
| title | Efficient asset management a practical guide to stock portfolio optimization and asset allocation |
| title_auth | Efficient asset management a practical guide to stock portfolio optimization and asset allocation |
| title_exact_search | Efficient asset management a practical guide to stock portfolio optimization and asset allocation |
| title_full | Efficient asset management a practical guide to stock portfolio optimization and asset allocation Richard O. Michaud |
| title_fullStr | Efficient asset management a practical guide to stock portfolio optimization and asset allocation Richard O. Michaud |
| title_full_unstemmed | Efficient asset management a practical guide to stock portfolio optimization and asset allocation Richard O. Michaud |
| title_short | Efficient asset management |
| title_sort | efficient asset management a practical guide to stock portfolio optimization and asset allocation |
| title_sub | a practical guide to stock portfolio optimization and asset allocation |
| topic | Analyse financière - Modèles mathématiques Gestion de portefeuille - Modèles mathématiques Investeringen gtt Investimentos larpcal Portfolio-analyse gtt Wiskundige modellen gtt Mathematisches Modell Investment analysis -- Mathematical models Portfolio management -- Mathematical models Mathematisches Modell (DE-588)4114528-8 gnd Finanzanalyse (DE-588)4133000-6 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| topic_facet | Analyse financière - Modèles mathématiques Gestion de portefeuille - Modèles mathématiques Investeringen Investimentos Portfolio-analyse Wiskundige modellen Mathematisches Modell Investment analysis -- Mathematical models Portfolio management -- Mathematical models Finanzanalyse Portfolio Selection |
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