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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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