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- Titel:
Towards Reliable Efficient Frontiers
- Dokumenttyp:
- Zeitschriftenaufsatz
- Autor(en):
- Schöttle, K.; Werner, R.
- Nicht-TUM Koautoren:
- ja
- Kooperation:
- national
- 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 summarizing these new methods we compare them both on a qualitative and quantitative basis. Numerical results support the expectation that the robustification adds value to the quantitative asset management process.
- Intellectual Contribution:
- Discipline-based Research
- Zeitschriftentitel:
- Journal of Asset Management
- Jahr:
- 2006
- Band / Volume:
- 7
- Heft / Issue:
- 2
- Seitenangaben Beitrag:
- 128-141
- Sprache:
- en
- Key publication:
- Nein
- Peer reviewed:
- Ja
- International:
- Ja
- Book review:
- Nein
- commissioned:
- not commissioned
- Professional Journal:
- Nein
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