Finance's wrong turns : a new foundation for financial markets, asset management, and social science / Richard O. Michaud.
Michaud, Richard O., 1941- author.
2023
HG4515 .M53 2023
Available Online

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Title Finance's wrong turns : a new foundation for financial markets, asset management, and social science / Richard O. Michaud.
Author Michaud, Richard O., 1941- author.
ISBN 9783031218637 electronic book
3031218639 electronic book
9783031218620 hardcover
3031218620
DOI https://doi.org/10.1007/978-3-031-21863-7
Published Cham : Palgrave Macmillan, [2023]
Language English
Description 1 online resource (xx, 138 pages) : illustrations (black and white, and colour)
Other Standard Identifiers 10.1007/978-3-031-21863-7 doi
Call Number HG4515 .M53 2023
Dewey Decimal Classification 332.1
332.10681
Summary There is a foundational crisis in financial theory and professional investment practice: There is little, if any, credible evidence that active investment strategies and traditional institutional quantitative technologies are able to provide superior risk-adjusted, cost-adjusted return over investment relevant horizons. Economic and financial theory has been in error for more than fifty years and is the fundamental cause of the persistent ineffectiveness of professional asset management. Contemporary sociological and economic theory, agent-based modeling, and an appreciation of the social context for preference theory provides a rational and intuitive framework for understanding financial markets and economic behavior. The author narrates his long-term experience in the use and limitations of traditional tools of quantitative asset management as an institutional asset manager in practice and as a quantitative analyst and strategist on Wall Street. Monte Carlo simulation methods, modern statistical tools, and U.S. patented innovations are introduced to redefine portfolio optimality and procedures for enhanced professional asset management. A new social context for expected utility theory leads to a novel understanding of modern equity markets as a financial intermediary for purchasing power constant time-shift investing uniquely appropriate for meeting investor long-term investment objectives. This book addresses the limitations and indicated resolutions for more useful financial theory and more reliable asset management technology. In the process, it traces the major historical developments of theory and institutional asset management practice and their limitations over the course of the 20th century to the present, including Markowitz and the birth of modern finance, CAPM theory and emergence of institutional quantitative asset management, CAPM and VM theory limitations and ineffective iconic tools and strategies, and innovations in statistical methodologies and financial market theory.
Bibliography, etc. Note Includes bibliographical references and index.
Access Note Access limited to authorized users.
Digital File Characteristics text file PDF
Source of Description Description based on online resource; title from digital title page (viewed on January 31, 2023).
Available in Other Form Print version: 9783031218620
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Chapter 1 : The Birth of Modern Finance
Chapter 2 : The Birth of Capital Market Theory
Chapter 3 : Rise of Institutional Quantitative Management
Chapter 4 : Finance Theory in Crisis
Chapter 5: The Crisis at the Workbench or Markowitzs revenge
Chapter 6: The Michaud Efficient Frontier and Rank-Dependent Utility
Chapter 7: Statistical Portfolio Management
Chapter 8: Equity Markets in a Sociological Framework. .

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