Portfolio optimization

[Eazy]

How significant is the Michauds's resampled efficiency optimizer and protfolio rebalancing tecnhology? It sounds like it does a better job than Markowitz's work. Markowitz himself sounds impressed. I've been reading some criticisms too though. How significant are the criticisms?

JoeyDVivre, CFAAtlanta, any other PhDs out there - thoughts?

 

[CFAAtlanta]

Sorry, not my area of expertise. I think finance_machine has a Ph.D. in finance and may be able to offer views.

 

[JoeyDVivre]

I think that it is good stuff. Markowitz' efficient frontier is obviously computationally much easier and the work was done 50 years ago so they aren't really competitors.

There's a problem with this stuff - Michaud patented it. There is nothing particularly special about this kind of scheme and I know tons of people who have done similar stuff, but they didn't patent it. Theoretically, you can buy his book but you can't implement his book without paying him. That really ticks me off. Resampling has been a very standard idea in statistics since the early '80's (at least). This is just a clever implementation of it for portfolio management.

 

[Eazy]

Thanks JDV. I thought the patent seemed strange. Glad to know I wasn't out in left field. From what I read it seemed strange that they were receiving so much personal attention - I guess that is what the patent will do.