Comment on 'Markowitz versus Michaud : Portfolio Optimization Strategies Reconsidered,' Becker, Gürtler and Hibbeln, European Journal of Finance, 21(4): 2015

We are pleased that Becker, Gürtler and Hibbeln (BGH), authors of “Markowitz versus Michaud: Portfolio Optimization Strategies Reconsidered,” are interested in assessing the investment value of Michaud optimization (Michaud 1990, Michaud and Michaud 2008), relative to Markowitz (1952, 1959). As they note, Markowitz and Usmen (MU) (2003) compared Markowitz vs. Michaud efficient frontier optimization in a simulation study. Their results showed that Michaud optimization was superior to Markowitz on average and in every one of the 30 simulation tests performed in spite of the fact that the Markowitz player used a Bayesian estimation procedure to add investment value while the Michaud player did not. BGH also attempt to compare Markowitz to Michaud and, in contrast to MU, finds little evidence of superiority of the Michaud procedure