Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation

By Richard O. Michaud, Tongshu Ma. 1998

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1. Noureddine El Karoui
2. Z. Bai
3. Debashis Paul
4. Guofu Zhou
5. Jun Tu
6. Huixia Liu
7. Tommaso Cai
8. Wing-Keung Wong

Citations in the corpus

• Threshold-based portfolio: the role of the threshold and its applications (2017, methodology): “Examples include the thee-factor asset pricing model [18], the Black–Litterman model[19], the resampled efficient frontier model [20], the global minimum variance model [21], the maximum diversification portfolio [22], and the risk-parity portfolio [23, 24].”
• Is Unbiased Financial Advice to Retail Investors Sufficient? Answers from a Large Field Study (2012, methodology): “First, the optimizer uses a shrinkage factor, as proposed by Jorion (1986) and Michaud (1998).”
• High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: Risk underestimation (2010, methodology): “…optimization problems, proposed to “shrink” the sample covariance matrix toward another positive definite matrix (often the identity matrix properly scaled), while Michaud (1998) proposed to use the bootstrap and to average bootstrap weights to find better-behaved weights for the portfolio.”
• ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY (2009, background): “We note that Michaud (see Michaud 1998 and Meucci 2005) provides a bootstrap estimation approach to estimate the allocation and thereafter estimate the return.”
• Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies ☆ (2011, background): “Michaud (2008) further notes that “an equally weighted portfolio may often be substantially closer to the true MV optimality than an optimized portfolio.””
• A Network Approach to Portfolio Selection (2016, background): “The poor performance of Markowitz’s rule stems from the large estimation errors on the vector of expected returns (Merton, 1980) and on the covariance matrices (Jobson and Korkie, 1980) leading to the well-documented error-maximizing property discussed by Michaud and Michaud (2008).”