Towards reliable efficient frontiers

Katrin Schöttle () and Ralf Werner
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Katrin Schöttle: TU München, Institute for Mathematical Finance
Ralf Werner: TU München, Institute for Mathematical Finance

Journal of Asset Management, 2006, vol. 7, issue 2, No 5, 128-141

Abstract: Abstract In recent years, new ideas for the robustification of the traditional Markowitz frontier have appeared in the literature. Driven by the needs of an asset management company, two promising approaches have been investigated more thoroughly. After briefly summarising these new methods, this paper compares them on a qualitative and quantitative basis. Numerical results support the expectation that the robustification adds value to the quantitative asset management process.

Keywords: robust portfolio optimisation; efficient frontiers (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1057/palgrave.jam.2240208

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