An Introduction to Resampled Efficiency

Resampled Efficiency provides the solution to using uncertain information in portfolio optimization. The proper purpose of investment advice is to improve a client's portfolio in terms of maximizing return for an appropriate level of risk. Asset management techniques for optimizing the investment value of forecasts of return and risk have been available for fifty years. Markowitz provides the classic definition of optimality: a portfolio is risk-return efficient if no other portfolio has higher expected return for a given level of risk or less risk for a given level of expected return. The set of all portfolios that are risk-return efficient are said to form the Markowitz efficient frontier. Markowitz also developed mathematical methods for solving the risk-return optimization problem