The Michaud Efficient Frontier and Expected Utility

Richard O. Michaud ()
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Richard O. Michaud: New Frontier Advisors

Chapter Chapter 6 in Finance's Wrong Turns, 2023, pp 71-91 from Springer

Abstract: Abstract In spite of its critical limitations, Markowitz MV optimization remains the framework of choice for defining portfolio optimality in much contemporary practice.

Keywords: Back test; Equal return rank; Min and max Michaud efficient portfolios; Monte Carlo simulation; Portfolio resampling (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/978-3-031-21863-7_6

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