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,...

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,...