Resampled efficient froniter will be above or below efficient frontier?
Why?
Probably above.
Because the methodology will include simulated assets with higher returns and lower volatilities of returns than the historical values used in the efficient frontier.
The way I understand it is neither.
It is just another way of constructing an efficent frontier. Both have their pros and cons.
I believe since a Resampled Efficient frontier comes from averaging various other efficient frontiers (based on different starting point assumptions) it would lie BELOW the other efficent frontiers.
See Problem 10 A and 10 B in the text in the EOC on Asset Allocation…
I don’t think the question was addressing the true efficent frontier.
What I understood was that it compared the resampled to the MVO frontier.
When they talk Efficient frontier - it means MVO efficient. I do not think there is any other kind.
And this quote is from the solution to the question… I am not writing this from memory (mine is truly bad).
The true efficent frontier is a hypothetical FR. The MVO is the one estimated at a point in time/
The TEF is always above any other frontier.