Efficient asset management A practical guide to stock portfolio optimization and asset allocation
In spite of theoretical benefits, Markowitz mean-variance (MV) optimized portfolios often fail to meet practical investment goals of marketability, usability, and performance, prompting many investors to seek simpler alternatives. Financial experts Richard and Robert Michaud demonstrate that the lim...
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| Idioma: | Undetermined English |
| Publicado em: |
New York
Oxford University Press
2008
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| Thư viện lưu trữ: | Trung tâm Học liệu Trường Đại học Trà Vinh |
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| Resumo: | In spite of theoretical benefits, Markowitz mean-variance (MV) optimized portfolios often fail to meet practical investment goals of marketability, usability, and performance, prompting many investors to seek simpler alternatives. Financial experts Richard and Robert Michaud demonstrate that the limitations of MV optimization are not the result of conceptual flaws in Markowitz theory but unrealistic representation of investment information. What is missing is a realistic treatment of estimation error in the optimization and rebalancing process |
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| Descrição Física: | 128 p. 24 cm |
| ISBN: | 0195331915 9780195331912 |