title: Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation (Financial Management Association Survey and Synthesis)
author:  Richard O. Michaud 
description: <br /><strong>Richard O. Michaud</strong> is President and Chief Investment Officer at New Frontier Advisors. His research and consulting has focused on asset allocation, investment strategies, global investment management, optimization, stock valuation, portfolio analysis, and trading costs. He is co-inventor and patentee of Resampled Efficiency optimization. He earned a Ph.D. in Mathematics from Boston University and taught investment management at Columbia University. <br /><br /><strong>Robert O. Michaud,</strong> the co-inventor of the patented portfolio optimization processes, is the Managing Director of Research and Development at New Frontier Advisors. Mr. Michaud holds a Masters in Mathematics from Boston University and pursued a Ph.D. in finance from the Anderson School of Management at the University of California at Los Angeles before joining NFA. His research interests include risk models, empirical asset pricing, and international finance.<br />
zlib_text: Adaptive Asset Allocation Policies 
   
   
  1 
  Adaptive Asset Allocation Policies 
  William F. Sharpe1 
  November 2009 
   
  Abstract 
   
   Many institutional and individual investors have an asset allocation policy that calls for 
  investing a specified percentage of the total value of a portfolio in each of several asset 
  classes. To conform with such a policy as market values change requires selling assets 
  that performed relatively well and buying those that performed relatively poorly. Such a 
  strategy is clearly contrarian and can only be followed by a minority of investors. In 
  practice, many investors seldom rebalance completely to conform with their policy. On 
  the other hand, many multi-asset mutual funds, increasingly used in defined contribution 
  plans, do so frequently, resulting in contrarian behavior. This paper presents an 
  alternative approach, in which an asset allocation policy adapts as markets move, taking 
  into account changes in the outstanding market values of major asset c