Reply to 'Reply to 'Comment on 'Markowitz Versus Michaud : Portfolio Optimization Strategies Reconsidered'''

In our “Comment” Michaud, Esch, Michaud (2015), on Becker, Gurtler, and Hibbeln (2015) (BGH) we noted a number of critical limitations of their study of Markowitz (1952) versus Michaud (1998) MV optimization. In particular, in a paper primarily focused on disparaging Michaud optimization, their computation of Michaud optimization was in error, invalidating all their results and indeed purpose of publication of their original paper. In addition, as we also noted, they managed to omit reference to the important Jobson and Korkie (1981) study showing that unconstrained MV optimization was much worse than equal weighting in many practical cases, invalidating two-thirds of their results that addressed unconstrained MV optimization. We also noted a number of additional limitations including that they managed to ignore published rebuttals to what they claimed were limitations of Michaud optimization. We concluded they had no contemporary understanding of MV optimization in practice and could not consider any of their conclusions credible