Is the Efficient Frontier Efficient?

Abstract
The paper defines plausible ways to measure sampling error within efficient frontiers, particularly when they are derived using dynamic financial analysis (DFA). The properties of an efficient surface are measured both using historical segments of data and using bootstrap samples. The surface was found to be diverse, and the composition of asset portfolios for points on the efficient surface was highly variable.
Volume
LXXXVIII
Page
236-286
Year
2001
Categories
Financial and Statistical Methods
Statistical Models and Methods
Boot-Strapping and Resampling Methods
Actuarial Applications and Methodologies
Dynamic Risk Modeling
Dynamic Financial Analysis (DFA);
Actuarial Applications and Methodologies
Investments
Efficient Frontier
Publications
Proceedings of the Casualty Actuarial Society
Authors
William J Blatcher
John J Denman
Gerald S Kirschner
William C Scheel
Documents