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Title:

Towards Reliable Efficient Frontiers

Document type:
Zeitschriftenaufsatz
Author(s):
Schöttle, K.; Werner, R.
Non-TUM Co-author(s):
ja
Cooperation:
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
Journal title:
Journal of Asset Management
Year:
2006
Journal volume:
7
Journal issue:
2
Pages contribution:
128-141
Language:
en
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
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