Quick asset allocation question allocation, efficient, question, overcome

bbtomato

The weakness listed for the resampled efficient frontier and black-litterman is that it uses mean variance optimization. How is that a weakness? Don’t they overcome a lot of the problems of the traditional MVO?

mik82

I know , but I was criticizing MVO not b-l. We’re using a technique that creates conc. portfolio but maybe b-l has to overcome that if it uses MVO . Not the most efficient process

bchadwick

asset only
they can be extended to surplus mean variance optimization

Analyze_This

MVO can result in very concentrated portfolios , and might defeat the purpose of diversification which is the goal of both methods