Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation
Author: Richard O. Michaud
List Price: $45.00
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ISBN: 0875847439
Publisher: Oxford University Press (June, 1998)
Sales Rank: 29,338
Average Customer Rating: 3 out of 5
Customer Reviews
Rating: 1 out of 5
Thoroughly useless
This book looks like a sales pitch for someone getting into the consulting business. It is neither particularly insightful nor detailed, and is certainly not useful for portfolio construction and risk management. It lies well outside the mainstream practice and thinking within the industry, and serious alternatives are plentiful. Avoid.
Rating: 3 out of 5
Not for the asset allocation user (vs. creator)
I would agree with the comments of the first 2 reviewers. That is, the book is honest, concise and thorough in addressing the pitfalls of using Mean-Variance optimization techniques for finding optimum asset allocations (i.e., minimum risk for given expected return). However, if you don't do your own asset allocation calculations (i.e., process historical trends to find the "efficient frontier") the only value of the book is to make you aware of the issues around using Markowitz mean-variance techniques and, therefore, be questioning of any asset allocation models you come across. In other words, for the user (vs. creator) of asset allocation models be aware that if the creator wasn't careful in his statistical techniques the models could be wrong. Also, what I also got out of the book was, in many cases, rebalancing of a portfolio may not be needed as frequently as many suppose as the efficient frontier is more of a cloud then a line.
Rating: 4 out of 5
Raises important questions
Michaud raises several important issues that one is sure to encounter in portfolio optimization. Michaud exposes the fallibility of mean-variance optimization and suggests several techniques to obtain more reliable results. His conclusions merit consideration. Props for increasing the breadth of statistical scope of efficient asset management. Michaud is also a fluid writer. My largest complaint is that the majority of his work utilizes sign-constrained (long-only) optimization. If you manage, advise or consult on portfolio management and you utilize optimization techniques or have considered them, you should become knowledgeable with the contents of this book... Similar Products
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