Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation.
本书指出马科维茨均值方差优化在实践中未被广泛使用的原因，提出统计视角的新方法以改善其缺陷，并通过全球资产配置案例展示如何提升投资绩效，适合行业从业者和研究者阅读。
Markowitz's portfolio theory is one of the most important theoretical developments in finance. Its elegance and theoretical appeal are illustrated by the fact that it is taught in virtually every undergraduate and MBA level course on portfolio management. Yet the Markowitz mean-variance (MV) optimization is not widely used by the investment community. In this book, Richard Michaud, a leading researcher in this area, explains why this is so. Based on his diagnosis of the problem, he advocates a "statistical view" of the MV optimization that leads to new procedures that can reduce or eliminate many practical deficiencies of the MV optimization. Using a simple global asset allocation example throughout the book, he illustrates the problems associated with a naïve implementation of the MV optimization procedure. He then describes how the new procedures can be applied, and shows how they improve the MV optimization results. The bottom line: the "statistical view" and the new procedures offer the potential of substantial improvements in the investment performance of the MV optimization. I agree with this assessment. I find this book a must-read for industry professionals and researchers who are interested in this area.