Resampled Efficiency™ Articles

1. Estimation Error and Portfolio Optimization
   Richard Michaud and Robert Michaud review and update the optimization information introduced in Efficient Asset Management.
   Author: Richard Michaud and Robert Michaud
   Publication: JOIM First Quarter 2008
2. Defense of Markowitz-Usmen
   Dr. Michaud and Robert Michaud respond to Harvey et al.'s criticism of the simulation tests used by Markowit and Usmen.
   Author: Robert Michaud and Richard Michaud
   Publication: NFA March 2008
3. Scherer's Errors
   Scherer published a critique of resampled efficiency. This paper provides corrections to the invalid conclusions found in Scherer.
   Authors: Richard O. Michaud & Robert O. Michaud
   Publication: December 2005 Newsletter
4. Resampled Efficiency Equity Portfolio Optimizer
   New Frontier describes the features and theory behind the new Equity Optimizer.
   Authors: Richard O. Michaud & Robert O. Michaud
   Publication: October 2005 Newsletter
5. Equity Optimization Issues-V: Monte Carlo and Optimization Errors
   Improvements in optimization design and resolutions of fallacies in asset management practice are largely due to recent applications of Monte Carlo simulation technology.
   Authors: Richard O. Michaud & Robert O. Michaud
   Publication: August 2005 Newsletter
6. Equity Optimization Issues-IV: The Fundamental Law of Mismanagement
   The Grinold Law of Active Management is one of the most widely referenced and misused formulas in investment theory and practice.
   Authors: Richard O. Michaud & Robert O. Michaud
   Publication: July 2005 Newsletter
7. Equity Optimization Issues-III: Insignificant Alphas, Heterogeneous Errors
   Insignificant alphas and heterogeneous estimation error are two issues associated with performance limitations in mean variance equity portfolio optimization.
   Authors: Richard O. Michaud & Robert O. Michaud
   Publication: March 2005 Newsletter
8. Equity Optimization Issues-II: Large Stock Universes and Scaling Alphas
   In order to obtain the provable benefits of Resampled Efficiency, a number of common ad hoc equity portfolio optimization techniques need to be avoided or corrected. This article focuses on two: the use of large stock universes and incorrect alpha scaling.
   Authors: Richard O. Michaud & Robert O. Michaud
   Publication: February 2005 Newsletter
9. Equity Optimization Issues-I
   The first equity optimization article is a beginning discussion of difficulties of traditional optimizers and the solutions New Frontier was starting to explore.
   Authors: Richard O. Michaud & Robert O. Michaud
   Publication: November 2004 Newsletter
10. Optimization with Non-Normal Resampling
    In order to retain some of the normal distribution relevance for MC optimization, we use a multivariate distribution procedure that allows for exogenous specification of skewness and kurtosis.
    Author: Noah Kraut
    Publication: September 2004 Newsletter
11. Forecast Confidence Level and Portfolio Optimization
    This report focuses on the role and importance of the uncertainty in forecast information in constructing portfolios with the optimal performance.
    Authors: Richard O. Michaud & Robert O. Michaud
    Publication: July 2004 Newsletter
12. Resampled Efficiency Fallacies
    This report responds to critiques of Resampled Efficiency.
    Authors: Richard O. Michaud & Robert O. Michaud
    Publication: April 2004 Newsletter
13. Resampled Efficiency vs. Bayes: Implications for Asset Management
    Good inputs, prepared with Bayesian statistics, are no better than bad inputs if the portfolio construction process misuses investment information.
    Authors: Richard O. Michaud & Robert O. Michaud
    Publication: February 2004 Newsletter
14. Why Mean-Variance Optimization Isn't Useful for Investment Management
    The logic of mean variance optimization is seductive, but the seduction unravels in the investment period.
    Author: Richard O. Michaud
    Publication: January 2004 Newsletter
15. Are Good Inputs Enough? No.
    Investment institutions tend to focus the bulk of their human and capital resources on developing reliable forecasts of asset risks and return while ignoring the optimization technology they use to transform their information into investors' portfolios. These good inputs are no better than bad if the portfolios that represent the information to the investor have no investment value.
    Authors: Richard O. Michaud & Robert O. Michaud
    Publication: October 2003 Newsletter.
16. Resampled Efficiency For Financial Planning and Return Forecasting
    An examination of the effect of forecast certainty level indicate that the enormous effort focused on input estimation by many managers and institutions without Resampled Efficient Optimization is misplaced and likely to be ineffective.
    Authors: Richard O. Michaud & Robert O. Michaud
    Publication: August 2003 Newsletter
17. LETTERS TO THE EDITOR: Portfolio Resampling: Review and Critique
    The authors responded immediately to Bernd Scherer’s critique of Resampled Efficient Optimization.
    Authors: Richard O. Michaud & Robert O. Michaud.
    Publication:Financial Analysts Journal. May/June 2003.
18. Resampled Efficiency Issues
    Once resampled efficiency gained prominence, misinterpretations and misunderstandings arose. This 2003 article addresses the most frequently asked questions and misunderstandings of that time period.
    Authors: Richard O. Michaud & Robert O. Michaud
    Publication: February 2003 Newsletter.
19. LETTERS TO THE EDITOR: 'An Examination of Resampled Portfolio Efficiency': A Comment
    Dr. Michaud responds to the Fletcher & Hillier article (2001) that compared the performance of mean variance efficient asset allocations to resampled efficient asset allocations by means of a back test.
    Author: Richard O. Michaud
    Publication: Financial Analysts Journal. January/February 2003
20. Resampled Portfolio Rebalancing and Monitoring
    An enhancement to the original rebalancing procedure is now available that dramatically increases the uniformity and discrimination power of the original portfolio rebalancing and asset weight range procedures.
    Author: Richard O. Michaud
    Publication: Fourth Quarter 2002 Newsletter
21. An Introduction to Resampled Efficiency
    Resampled Efficiency provides the solution to using uncertain information in portfolio optimization.
    Author: Richard O. Michaud.
    Publication: Investment Management Consulting Association's Monitor, September 2002
    Third Quarter 2002 Newsletter
22. A Better Way to Use Information
    In the second resampled efficiency article in the European Pensions News, Richard Michaud argues for the importance of taking statistical errors into account in asset allocation decisions.
    Author: Richard O. Michaud.
    Publication:European Pensions & Investment NewsJuly 9, 2001.
23. Out-of-Sample Tests of Resampled Efficiency
    Resampled Efficient Optimization improves the average reward-to-risk ratio of classical asset allocation portfolios.
    Author: Richard O. Michaud
    Publication: European Pensions & Investment News. June 25, 2001
24. Aspects: Resampled Efficient Asset Allocation
    This article introduces the advantages and functionality of the newly patented Resampled Efficiency.
    Author: Richard O. Michaud
    Publication: Frontier News. Second Quarter 2001
25. A New Design for Portfolios
    Given all the problems associated with the inferior investment technology currently being used, it is little wonder that capital markets appear to be efficient. Only when asset management practice has achieved a level of sophistication consistent with the thoughtful use of investment information is it likely to provide statistically significant risk-adjusted performance.
    Author: Richard O. Michaud
    Publication: Bloomberg Personal Finance. July/August 2000