Featured article: "Comment on 'Markowitz versus Michaud: Portfolio Optimization Strategies Reconsidered,' Becker, Gürtler and Hibbeln, European Journal of Finance, 21(4): 2015."
"We are pleased that Becker, Gürtler and Hibbeln (BGH), authors of “Markowitz versus Michaud: Portfolio Optimization Strategies Reconsidered,” are interested in assessing the investment value of Michaud optimization (Michaud 1990, Michaud and Michaud 2008), relative to Markowitz (1952, 1959)…However, unlike Markowitz and Usmen (2003), who carefully followed the simulation framework first used in Jobson and Korkie (1981), and subsequently in Michaud (1998, Ch. 6), and Michaud and Michaud (2008, Ch. 6), BGH used a very different approach. In several important ways, we find that their framework is unsuitable for the issue they claim to test and their conclusions invalid as a consequence." Read more.