Efficient asset management

Efficient asset management - Table of contents for...

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Table of contents for Efficient asset management: a practical guide to stock portfolio optimization and asset location / Richard O. Michaud and Robert O. Michaud. Bibliographic record and links to related information available from the Library of Congress catalog. Note: Contents data are machine generated based on pre-publication provided by the publisher. Contents may have variations from the printed book or be incomplete or contain other coding. To My Mother, Helena Talbot Michaud, and her steadfast love My Father, Omer Michaud, and his cherished memory Prof. Robin Esch, a wise unerring mentor Dr. Allan Pineda and his brilliant associates at MGH Richard Michaud 2007 PREFACE 8 INVESTOR ACCEPTANCE 9 THE FUNDAMENTAL ISSUE 10 OVERVIEW 11 FEATURES 12 AUDIENCE AND ANALYTICAL REQUIREMENTS 14 ACKNOWLEDGEMENTS 15 CHAPTER 1 INTRODUCTION 16 MARKOWITZ EFFICIENCY 16 AN ASSET MANAGEMENT TOOL 17 TRADITIONAL OBJECTIONS 18 THE MOST IMPORTANT LIMITATIONS 19 RESOLVING THE LIMITATIONS OF MEAN-VARIANCE OPTIMIZATION 20 ILLUSTRATING THE TECHNIQUES 21 CHAPTER 2 CLASSIC MEAN-VARIANCE OPTIMIZATION 22 PORTFOLIO RISK AND RETURN 22 DEFINING MARKOWITZ EFFICIENCY 24 OPTIMIZATION CONSTRAINTS 25 THE RESIDUAL RISK-RETURN EFFICIENT FRONTIER 26 COMPUTER ALGORITHMS 27 ASSET ALLOCATION VERSUS EQUITY PORTFOLIO OPTIMIZATION 28 A GLOBAL ASSET ALLOCATION EXAMPLE 31 REFERENCE PORTFOLIOS AND PORTFOLIO ANALYSIS 33 RETURN PREMIUM EFFICIENT FRONTIERS 34 APPENDIX: MATHEMATICAL FORMULATION OF MV EFFICIENCY 36 CHAPTER 3 TRADITIONAL CRITICISMS AND ALTERNATIVES 40 ALTERNATIVE MEASURES OF RISK 40 UTILITY FUNCTION OPTIMIZATION 43 MULTIPERIOD INVESTMENT HORIZONS 45 ASSET-LIABILITY FINANCIAL PLANNING STUDIES 49 LINEAR PROGRAMMING OPTIMIZATION 52 CHAPTER 4 UNBOUNDED MV PORTFOLIO EFFICIENCY 54
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UNBOUNDED MV OPTIMIZATION 55 THE FUNDAMENTAL LIMITATIONS OF UNBOUNDED MV EFFICIENCY 57 REPEATING JOBSON AND KORKIE 59 IMPLICATIONS OF JOBSON AND KORKIE ANALYSIS 60 STATISTICAL MV EFFICIENCY AND IMPLICATIONS 61 CHAPTER 5 LINEAR CONSTRAINED MV EFFICIENCY 63 LINEAR CONSTRAINTS 63 EFFICIENT FRONTIER VARIANCE 65 RANK-ASSOCIATED EFFICIENT PORTFOLIOS 69 HOW PRACTICAL AN INVESTMENT TOOL? 70 CHAPTER 6 THE RESAMPLED EFFICIENT FRONTIER¿ 72 EFFICIENT FRONTIER STATISTICAL ANALYSIS 72 PROPERTIES OF RESAMPLED EFFICIENT FRONTIER PORTFOLIOS 75 TRUE AND ESTIMATED OPTIMIZATION INPUTS78 SIMULATION PROOFS OF RESAMPLED EFFICIENCY OPTIMIZATION 80 WHY DOES IT WORK 83 CERTAINTY LEVEL AND RE OPTIMALITY 84 FC LEVEL APPLICATIONS 85 THE REF MAXIMUM RETURN POINT (MRP) 86 IMPLICATIONS FOR ASSET MANAGEMENT 89 CONCLUSION 90 APPENDIX: RANK- VERSUS ?--ASSOCIATED RE PORTFOLIOS. 92 CHAPTER 7 PORTFOLIO REBALANCING, ANALYSIS, AND MONITORING 94 RESAMPLED EFFICIENCY AND DISTANCE FUNCTIONS 95 PORTFOLIO NEED- TO- TRADE PROBABILITY 97 META-RESAMPLING PORTFOLIO REBALANCING 99 PORTFOLIO MONITORING AND ANALYSIS 100 CONCLUSION 103 APPENDIX: CONFIDENCE REGION FOR THE SAMPLE MEAN VECTOR 104 CHAPTER 8 INPUT ESTIMATION AND STEIN ESTIMATORS 106 ADMISSIBLE ESTIMATORS 107 BAYESIAN PROCEDURES AND PRIORS 108 FOUR STEIN ESTIMATORS 109 JAMES-STEIN ESTIMATOR 110
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