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Why does the Resampled Efficient Frontier (REF) plot below the classical Markowitz mean-variance (MV) frontier?    

 

Unlike MV optimization, the REF includes statistical uncertainty of risk-return estimates in the optimization process.  If you are 100% certain of your risk-return estimates (to 16 decimal places or more accuracy), then the Markowitz efficient frontier is the one you should use.  In practice investors are never 100% certain of their estimates.  Realistic uncertainty implies expecting less return and less willingness to put money at risk.  When uncertainty is included in the optimization process the efficient frontier portfolios plot below the classical MV frontier and generally do not recommend taking as much risk.  Resampled Efficiency (RE) optimization is the natural framework for rational decision making under conditions of information uncertainty.