What is the “resampled efficient frontier approach”? which reading is this from? Thanks!!
It is from SS 8 I believe it is where you run multiple MVO results and then take a weighted average of each asset class in order to come up with a final allocation. So if one result said to put 10% in Large cap and another MVO said to put 20% then you would use 15%. This typically results in a better allocated portfolio because as long as one simulation gives a positive weight to an asset class, than that asset class will show up in the recommended portfolio. Negative is that there is no theoretical justification for doing this. sure hope that is correct
^ Yeah Jeremy has the correct explanation. I posted in a thread on this just this morning actually: http://www.analystforum.com/phorums/read.php?13,974409,974743#msg-974743 "Resampled Mean Variance: basically runs a bunch of Mean Variance optimizations based on different assumptions and averages the results to get an “averaged” “optimized” portfolio. Benefits - more optimizations result in better diversification and a more stable efficient frontier. Negatives - no mathematical rationale behind doing this method, still a static approach, relies on estimates. "