The Most Important Limitations
Resolving the Limitations of Mean-Variance Optimization
Illustrating the Techniques
2. Classic Mean-Variance Optimization
Portfolio Risk and Return
Defining Markowitz Efficiency
The Residual Risk-Return Efficient Frontier
Asset Allocation Versus Equity Portfolio Optimization
A Global Asset Allocation Example
Reference Portfolios and Portfolio Analysis
Return Premium Efficient Frontiers
Appendix: Mathematical Formulation of MV Efficiency
3. Traditional Criticisms and Alternatives
Alternative Measures of Risk
Utility Function Optimization
Multiperiod Investment Horizons
Asset-Liability Financial Planning Studies
Linear Programming Optimization
4. Unbounded MV Portfolio Efficiency
Unbounded MV Optimization
The Fundamental Limitations of Unbounded MV Efficiency
Repeating Jobson and Korkie
Implications of Jobson and Korkie Analysis
Statistical MV Efficiency and Implications
5. Linear Constrained MV Efficiency
Efficient Frontier Variance
Rank-Associated Efficient Portfolios
How Practical an Investment Tool?
6. The Resampled Efficient Frontier
Efficient Frontier Statistical Analysis
Properties of Resampled Efficient Frontier Portfolios
True and Estimated Optimization Inputs
Simulation Proofs of Resampled Efficiency Optimization
Certainty Level and RE Optimality
The REF Maximum Return Point (MRP)
Implications for Asset Management
Appendix A. Rank- Versus [lambda]-Associated RE Portfolios
Appendix B. Robert's Hedgehog
7. Portfolio Rebalancing, Analysis, and Monitoring
Resampled Efficiency and Distance Functions
Portfolio Need-to-Trade Probability
Meta-Resampling Portfolio Rebalancing
Portfolio Monitoring and Analysis
Appendix: Confidence Region for the Sample Mean Vector
8. Input Estimation and Stein Estimators
Bayesian Procedures and Priors
James-Stein MV Efficiency
Out-of-Sample James-Stein Estimation
Stein Covariance Estimation
Utility Functions and Input Estimation
Appendix: Ledoit Covariance Estimation
9. Benchmark Mean-Variance Optimization
Benchmark-Relative Optimization Characteristics
Tracking Error Optimization and Constraints
A Simple Benchmark-Relative Framework
10. Investment Policy and Economic Liabilities
Economic Liability Models
Endowment Fund Investment Policy
Pension Liabilities and Benchmark Optimization
Limitations of Actuarial Liability Estimation
Current Pension Liabilities
Total and Variable Pension Liabilities
Economic Significance of Variable Liabilities
Economic Characteristics of VBO Liabilities
An Example: Economic Liability Pension Investment Policy
Past and Future of Defined Benefit Pension Plans
11. Bayes and Active Return Estimation
A Bayes Panel Illustration
Bayesian Mixed Estimation Issues
Enhanced Inputs or Enhanced Optimizer
12. Avoiding Optimization Errors
Practical Constraint Issues
Biased Portfolio Characteristics
Index Funds and Optimizers
Forecast Return Limitations
