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Towards reliable efficient frontiers

Author

Listed:
  • Katrin Schöttle

    (TU München, Institute for Mathematical Finance)

  • Ralf Werner

    (TU München, Institute for Mathematical Finance)

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.

Suggested Citation

  • Katrin Schöttle & Ralf Werner, 2006. "Towards reliable efficient frontiers," Journal of Asset Management, Palgrave Macmillan, vol. 7(2), pages 128-141, July.
    • Handle: RePEc:pal:assmgt:v:7:y:2006:i:2:d:10.1057_palgrave.jam.2240208
    DOI: 10.1057/palgrave.jam.2240208
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    Citations

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    Cited by:

    1. Tim van Hest & Anja De Waegenaere, 2007. "Optimal robust and consistent active implementation of a pension fund's benchmark investment strategy," Journal of Asset Management, Palgrave Macmillan, vol. 8(3), pages 176-187, September.
    2. Massimo Guidolin & Federica Ria, 2011. "Regime shifts in mean-variance efficient frontiers: Some international evidence," Journal of Asset Management, Palgrave Macmillan, vol. 12(5), pages 322-349, November.
    3. Chen Chen & Yu Wei, 2019. "Robust multiobjective portfolio optimization: a set order relations approach," Journal of Combinatorial Optimization, Springer, vol. 38(1), pages 21-49, July.
    4. Katrin Schöttle & Ralf Werner & Rudi Zagst, 2010. "Comparison and robustification of Bayes and Black-Litterman models," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 71(3), pages 453-475, June.
    5. Kang, Yan-li & Tian, Jing-Song & Chen, Chen & Zhao, Gui-Yu & Li, Yuan-fu & Wei, Yu, 2021. "Entropy based robust portfolio," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 583(C).
    6. repec:spr:compst:v:71:y:2010:i:3:p:453-475 is not listed on IDEAS
    7. Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla Ismath & Masih, A. Mansur M., 2017. "The role of Islamic asset classes in the diversified portfolios: Mean variance spanning test," Emerging Markets Review, Elsevier, vol. 30(C), pages 66-95.
    8. Fliege, Jörg & Werner, Ralf, 2014. "Robust multiobjective optimization & applications in portfolio optimization," European Journal of Operational Research, Elsevier, vol. 234(2), pages 422-433.

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