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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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