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,...

Target date funds are popular among many employers and fund managers. They are marketed as age-appropriate diversified portfolios and promoted as sophisticated easy-to-use funds.However, TDFs are no panacea. They are controversial among financial economists, insufficiently regulated, and...

The Markowitz (1952, 1959) mean-variance (MV) efficient frontier has been the theoretical standard for defining portfolio optimality for more than a half century. However, MV optimized portfolios are highly susceptible to estimation error and difficult to manage in practice (Jobson and Korkie...

The when-to-trade decision is a critical yet neglected component of modern asset management. Typical rebalancing rules are based on suboptimal heuristics. Rebalancing is necessarily a statistical similarity test between current and proposed optimal portfolios. Available tests ignore many real...

Allen et al (ALS) (2019) claim that a CAPM based theoretical framework for Markowitz (1952) mean-variance (MV) efficiency and a small level of forecast information (IC) can beat equal weighted portfolios. A portfolio optimization procedure worse than equal weighting would have little practical...

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,...

Markowitz (1959) mean-variance (MV) portfolio optimization has been the practical standard for asset allocation and equity portfolio management for almost fifty years. However, it is known to be overly sensitive to estimation error in risk-return estimates and have poor out-of-sample performance...

This paper describes an enhancement to the original rebalancing procedure that dramatically increases the uniformity and discrimination power of the original portfolio rebalancing and asset weight range procedures

We examine the case for gold as a long-term or strategic asset allocation for European professional investors. The role of gold in asset management is currently very topical. From a longer term perspective a wide consensus exists that gold is a useful hedge against inflation and a long-term...