EFFICIENT ASSET MANAGEMENT
A Practical Guide to Stock Portfolio Optimization
and Asset Allocation
Second Edition 2008 Oxford Press

1 Introduction 3
Markowitz Effi ciency 3
An Asset Management Tool 4
Traditional Objections 5
The Most Important Limitations 5
Resolving the Limitations of Mean-Variance
Optimization 6
Illustrating the Techniques 6
2 Classic Mean-Variance Optimization 7
Portfolio Risk and Return 7
Defi ning Markowitz Effi ciency 9
Optimization Constraints 9
The Residual Risk-Return Effi cient Frontier 10
Computer Algorithms 10
Asset Allocation Versus Equity Portfolio Optimization 11
A Global Asset Allocation Example 13
Reference Portfolios and Portfolio Analysis 14
Return Premium Effi cient Frontiers 16
Appendix: Mathematical Formulation of MV Effi ciency 17
3 Traditional Criticisms and Alternatives 20
Alternative Measures of Risk 20

Unbounded MV Portfolio Effi ciency 29
Unbounded MV Optimization 30
The Fundamental Limitations of Unbounded
MV Effi ciency 31
Repeating Jobson and Korkie 32
Implications of Jobson and Korkie Analysis 33
Statistical MV Effi ciency and Implications 34
5 Linear Constrained MV Effi ciency 35
Linear Constraints 35
Effi cient Frontier Variance 37
Rank-Associated Effi cient Portfolios 39
How Practical an Investment Tool? 40
6 The Resampled Effi cient Frontier™ 42
Effi cient Frontier Statistical Analysis 42
Properties of Resampled Effi cient Frontier Portfolios 45
True and Estimated Optimization Inputs 47
Simulation Proofs of Resampled Effi ciency Optimization 48
Why Does It Work 51
Certainty Level and RE Optimality 51
FC Level Applications 52
The REF Maximum Return Point (MRP) 53
Implications for Asset Management 55
Conclusion 55
Appendix A: Rank- Versus λ-Associated RE Portfolios 56
Appendix B: Robert’s Hedgehog 57
7 Portfolio Rebalancing, Analysis, and Monitoring 60
Resampled Effi ciency and Distance Functions 61
Portfolio Need-to-Trade Probability 62
Meta-Resampling Portfolio Rebalancing 63
Portfolio Monitoring and Analysis 64
Conclusion 66

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