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.

尽管有理论上的好处，Markowitz均值-方差（MV）优化的投资组合往往不能满足市场性、可用性和性能的实际投资目标，促使许多投资者寻求更简单的选择。金融专家Richard和robertmichaud证明了MV优化的局限性并不是Markowitz理论概念缺陷的结果，而是投资信息的不切实际的表现。缺少的是在优化和再平衡过程中对估计误差的现实处理，本文对经典的Markowitz优化和传统的反对意见进行了非技术性的回顾。作者证明了在实际应用中，MV优化的一个最重要的局限性是对估计误差过于敏感。投资组合优化需要一个现代的统计视角。高效资产管理，第二版使用蒙特卡罗重采样来解决信息的不确定性和定义重采样效率（RE）技术。重新优化的投资组合代表了投资组合优化的一个新定义，它更直观、更稳健、更有效。再平衡提供了第一个严格的投资组合交易、监控和资产重要性规则，避免了当前实践中广泛使用的特殊方法。第二个版本解决了自最初版本以来出现的一些开放性问题和误解。新版本包括新的有效性证明，统计估计的实质性修订，长短优化的广泛讨论，以及处理应用中估计误差和提高计算效率的新工具。