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Informationen zum Autor Dr. 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 PhD 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. Klappentext This book is the first rigorous and comprehensive treatment of estimation error on portfolio optimization and asset management in practice. Application of rigorous financially relevant methods leads to a fundamentally different understanding of portfolio efficiency and the development of powerful provably effective portfolio management techniques while avoiding widespread self-defeating practices. Zusammenfassung This book is the first rigorous and comprehensive treatment of estimation error on portfolio optimization and asset management in practice. Application of rigorous financially relevant methods leads to a fundamentally different understanding of portfolio efficiency and the development of powerful provably effective portfolio management techniques while avoiding widespread self-defeating practices. Inhaltsverzeichnis Preface Acknowledgements 1: Introduction 2: Classic Mean-Variance Optimization 3: Traditional Criticisms and Alterations 4: Unbounded MV Portfolio Efficiency 5: Linear Constrained MV Efficiency 6: The Resampled Efficient Frontier(TM) 7: Portfolio Rebalancing, Analysis, and Monitoring 8: Input Estimation and Stein Estimators 9: Benchmark Mean-Variance Optimization 10: Investment Policy and Economic Liabilities 11: Bayes and Active Return Estimation 12: Avoiding Optimization Errors Conclusion ...
