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Title: Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation by Richard O. Michaud ISBN: 0-87584-743-9 Publisher: Oxford University Press Pub. Date: June, 1998 Format: Hardcover Volumes: 1 List Price(USD): $45.00 |
Average Customer Rating: 3 (4 reviews)
Rating: 1
Summary: Thoroughly useless
Comment: 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
Summary: Not for the asset allocation user (vs. creator)
Comment: 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
Summary: Raises important questions
Comment: 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...
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Title: Modern Investment Management: An Equilibrium Approach by Bob Litterman, Quantitative Resources Group ISBN: 0471124109 Publisher: John Wiley & Sons Pub. Date: 03 July, 2003 List Price(USD): $129.95 |
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Title: Mean-Variance Analysis in Portfolio Choice and Capital Markets by Harry M. Markowitz, G. Peter Todd, William F. Sharpe ISBN: 1883249759 Publisher: John Wiley & Sons Pub. Date: February, 2000 List Price(USD): $69.95 |
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Title: Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Selecting Superior Returns and Controlling Risk by Richard C. Grinold, Ronald N. Kahn ISBN: 0070248826 Publisher: McGraw-Hill Trade Pub. Date: 26 October, 1999 List Price(USD): $75.00 |
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Title: Advanced modelling in finance using Excel and VBA by Mary Jackson, Mike Staunton ISBN: 0471499226 Publisher: John Wiley & Sons Pub. Date: 30 May, 2001 List Price(USD): $75.00 |
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Title: Strategic Asset Allocation by John Y. Campbell, Luis M. Viceira ISBN: 0198296940 Publisher: Oxford Press Pub. Date: 15 March, 2002 List Price(USD): $39.95 |
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