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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| Γλώσσα: | Undetermined English |
| Έκδοση: |
Boston, Mass.
Harvard Business School Press
1998
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| Thư viện lưu trữ: | Trung tâm Học liệu Trường Đại học Trà Vinh |
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| Περίληψη: | 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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| Φυσική περιγραφή: | xvii, 152 p. ill. 25 cm |
| ISBN: | 0875847439 9780875847436 |