HOMEINVESTMENT SERVICESRESEARCHCLIENT SERVICESABOUT NFA

In 2003, the father of classical optimization, Nobel prize winner Harry Markowitz asked the same question. He and colleague Nilufer Usmen challenged resampled efficiency. They hypothesized that classical optimization would work better than resampled efficiency as long as better inputs were used. They pitted two fictitious players against each other--one using classical optimization and the other using resampled efficiency. Resampled efficiency won all thirty tests, even those where the classical optimizer had better inputs! A better optimizer is more important than improved inputs.

Access the Pensions & Investments article about this experiment, "Markowitz says Michaud has built a Better Mousetrap". >>