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Efficient Asset Management: A Practical Guide to Stock Portfolio…

admin — Mon, 06 Jul 2009 07:20:50 +0000

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.
The text provides a non-technical review of classical Markowitz optimization and traditional objections. The authors demonstrate that in practice the single most important limitation of MV optimization is oversensitivity to estimation error. Portfolio optimization requires a modern statistical perspective. Efficient Asset Management, Second Edition uses Monte Carlo resampling to address information uncertainty and define Resampled Efficiency (RE) technology. RE optimized portfolios represent a new definition of portfolio optimality that is more investment intuitive, robust, and provably investment effective. RE rebalancing provides the first rigorous portfolio trading, monitoring, and asset importance rules, avoiding widespread ad hoc methods in current practice.
The Second Edition resolves several open issues and misunderstandings that have emerged since the original edition. The new edition includes new proofs of effectiveness, substantial revisions of statistical estimation, extensive discussion of long-short optimization, and new tools for dealing with estimation error in applications and enhancing computational efficiency. RE optimization is shown to be a Bayesian-based generalization and enhancement of Markowitz’s solution. RE technology corrects many current practices that may adversely impact the investment value of trillions of dollars under current asset management. RE optimization technology may also be useful in other financial optimizations and more generally in multivariate estimation contexts of information uncertainty with Bayesian linear constraints.
Michaud and Michaud’s new book includes numerous additional proposals to enhance investment value including Stein and Bayesian methods for improved input estimation, the use of portfolio priors, and an economic perspective for asset-liability optimization. Applications include investment policy, asset allocation, and equity portfolio optimization. A simple global asset allocation problem illustrates portfolio optimization techniques. A final chapter includes practical advice for avoiding simple portfolio design errors.
With its important implications for investment practice, Efficient Asset Management ’s highly intuitive yet rigorous approach to defining optimal portfolios will appeal to investment management executives, consultants, brokers, and anyone seeking to stay abreast of current investment technology. Through practical examples and illustrations, Michaud and Michaud update the practice of optimization for modern investment management.
This edition includes a CD that contains a demo of the patented, internet-based optimization software created by the authors at their consulting firm, New Frontier Advisors.

Author: Richard O. Michaud, Robert O. Michaud
Hardcover: 144 pages
Company: Oxford University Press, USA (2008-03-03)
ISBN: 0195331915
List Price: $39.95
Amazon Price: $31.85
Used Price: $30.21

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Efficient Asset Management: A Practical Guide to Stock Portfolio… is a post from: Stocks And Shares

The Master Swing Trader: Tools and Techniques to Profit from…

admin — Sun, 28 Jun 2009 20:06:55 +0000

Swing trading is gaining popularity as a powerful method to increase returns–and potentially lower risks–by profiting from short-term price moves. The Master Swing Trader explains how traders can use technical analysis, charting, and market sentiment to make trades that hold through price fluctuations and noise with wider stops.

This complete, practical guide to making profitable short-term trades–based on the author’s popular Mastering the Trade online course–uses dozens of charts and graphs to illustrate proven swing trading concepts and strategies. Experienced day, position, and online traders will benefit immediately from: – The 7 Bells – unique tools to uncover promising short-term prospects – Techniques to profit from low-risk short sales – The 4 repeating cycles for perfectly timed trades

Author: Alan Farley
Hardcover: 443 pages
Company: McGraw-Hill (2000-12-13)
ISBN: 0071363092
List Price: $59.95
Amazon Price: $33.64
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Day Trading Grain Futures: A Practical Guide to Trading for a Living…

admin — Thu, 25 Jun 2009 09:04:00 +0000

This practical book provides you with everything you need to be able to day trade grain futures effectively. It opens with chapters explaining the author’s preference for the grain futures markets, and his reasons for preferring to day trade, before going on to explain the fundamentals of trading and the more specific knowledge required for his chosen approach.

Author: David Bennett
Paperback: 155 pages
Company: Harriman House (2009-05-01)
ISBN: 1905641931
List Price: $49.99
Amazon Price: $31.49
Used Price: $93.86

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Day Trading Grain Futures: A Practical Guide to Trading for a Living… is a post from: Stocks And Shares