Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation
"Michaud focuses on the fact that sampling errors in input estimates can have extreme effects on the portfolios produced by a mean-variance analysis.  While some may debate his conclusions, everyone should understand the problem as Michaud so ably presents it and his proposed solution to it. This is a must-read, must-think-about book."--Harry M. Markowitz, Nobel Laureate, Economics, 1990"In his long-standing tradition, Michaud once again pushes the envelope of mean-variance optimization.  Quantitative analysts of all stripes will enjoy his work.  Resampling is bound to be of growing interest."--Kenneth L. Fisher, Chairman & CEO, Fisher Investments, Inc.;ForbesPortfolio Strategy Columnist; and MarketPlace Commentator, Public Radio International"Efficient Asset Managementis essential reading for all investment managers.  Michaud persuasively and eloquently shows that portfolio management is an inherently statistical task and is therefore subject to significant sampling error. More important, he provides a new tool, the resampling efficient frontier, for mitigating the problem. Michaud's tour de force is a rare example of a product with genuine merit for all investors."--Richard Roll, Allstate Chair in Finance and Insurance, John E. Anderson Graduate School of Management, UCLA"This book is a delightfully sophisticated yet practical introduction to portfolio management that will appeal to industry professionals as well as finance students."--Andrew W. Lo, Harris & Harris Group Professor and Director of the Laboratory for Financial Engineering, MIT"Efficient Asset Managementoffers an exciting and innovative approach to asset construction that builds on the established literature.  It provides the practitioner with a new dimension for incorporating value-added investment judgments in the portfolio-building process.  Readable and useful, this book makes a significant contribution to better portfolio management."--Gary P. Brinson, President, Brinson Partners, Inc.