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Efficient Asset Management:: A Practical Guide to Stock Portfolio Optimization and Asset Allocation
Author(s): Richard O. Michaud (Author)
- Publisher: OUP USA
- Publication Date: 29 Jun. 1998
- Language: English
- Print length: 152 pages
- ISBN-10: 0875847439
- ISBN-13: 9780875847436
Book Description
This book describes the problems of mean-variance optimization as a practical tool of institutional asset management. It reviews various proposed alternatives to mean-variance optimization and describes their limitations. The goal is to define an optimization process that validly reflects investment insights while maintaining the rigor, informational breadth, and convenience that mean-variance optimization provides.
Editorial Reviews
About the Author
Richard Michaud is a senior vice president of Acadian Asset Management in Boston, a director of the Institute for Quantitative Research in Finance, and an editorial board member of the Financial Analysts Journal.
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