New Frontier: Inventors of the Michaud Resampled Efficient Frontier

Spotlight Deconstructing Black-Litterman Dr. Michaud was invited to speak on "Deconstructing Black-Litterman" at the April fi360 conference in Chicago. Black-Litterman proposes to solve the limitations of Markowitz optimization in practice. We use a simple data set to illustrate the procedure and show that Black-Litterman portfolios are identical to Markowitz and often poorly diversified and risk managed. While convenient, the Black-Litterman procedure is unlikely to be investment effective and cannot be recommended relative to available alternatives. A paper and additional presentations are forthcoming.		Investment Solutions New Frontier offers institutional expertise and patented investment processes to enhance return and manage risk via statistically vigorous, robust, and transparent investment vehicles. Software Solutions Awarded four patents, New Frontier provides state-of-the-art asset allocation and portfolio optimization tools featuring the Michaud Resampled Efficient Frontier™ and other innovations. Research A globally-recognized independent research authority, New Frontier continues to contribute to the cutting-edge of investment theory in asset allocation, investment strategies, global investment management, optimization, stock valuation, portfolio analysis, and trading costs.
Announcements
March 2012 - Markowitz Interview Dr. Michaud interviewed Dr. Harry Markowitz at last spring's JOIM conference. The interview traces the evolution of his pioneering work.	April 2012 - Calm After the Storm Dr. Michaud's quarterly investment commentary addresses international and domestic forces shaping our economy.
About New Frontier New Frontier is a Boston-based research and registered investment advisory firm specializing in the development and application of state-of-the-art investment technology. Founded in 1999 by the inventors of the world's first broad spectrum, patented, provably effective portfolio optimization process, the firm continues to pioneer new developments in asset management. New Frontier's services help institutional investors worldwide select and maintain more effective portfolios.