Richard O. Michaud

New Frontier Advisors

President

155 Federal Street

Suite 1000

Boston, MA 02110

United States

http://www.newfrontieradvisors.com

  • New Frontier Advisors

    • Email
    • Tel: 617-482-1433
    • Fax: 617-482-1434
SCHOLARLY PAPERS

40

DOWNLOADS
Rank 9,130

SSRN RANKINGS

Top 9,130

in Total Papers Downloads

5,798

SSRN CITATIONS
Rank 5,072

SSRN RANKINGS

Top 5,072

in Total Papers Citations

218

CROSSREF CITATIONS

35

Scholarly Papers (40)

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1.

The Markowitz Optimization Enigma: Is 'Optimized' Optimal?

Financial Analysts Journal, 1989
Number of pages: 12 Posted: 31 Jan 2014 Last Revised: 01 Apr 2018
Richard O. Michaud
New Frontier Advisors
Downloads 1,694 (11,403)
Citation 210

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mean-variance optimization

2.

Estimation Error and Portfolio Optimization: A Resampling Solution

Number of pages: 25 Posted: 10 Sep 2015 Last Revised: 29 Sep 2015
Richard O. Michaud and Robert Michaud
New Frontier Advisors and Independent
Downloads 944 (27,637)
Citation 20

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3.

Deconstructing Black-Litterman: How to Get the Portfolio You Already Knew You Wanted

Number of pages: 21 Posted: 10 Aug 2015 Last Revised: 29 Sep 2015
Richard O. Michaud, David Esch and Robert Michaud
New Frontier Advisors, New Frontier Advisors and Independent
Downloads 568 (54,991)
Citation 2

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4.

Gold as a Strategic Asset

World Gold Council, 10 Old Bailey, London EC4M 7NG, UK, 2006
Number of pages: 32 Posted: 07 Mar 2014
Richard O. Michaud, Robert Michaud and Katharine Pulvermacher
New Frontier Advisors, Independent and World Gold Council
Downloads 407 (82,783)

Abstract:

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5.

Morningstar vs. Michaud Optimization

Number of pages: 10 Posted: 08 Mar 2014
Richard O. Michaud and David Esch
New Frontier Advisors and Independent
Downloads 224 (156,804)

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6.

An Introduction to Resampled Efficiency

New Frontier Advisors’ Newsletter 3rd quarter, 2002
Number of pages: 6 Posted: 08 Mar 2014
Richard O. Michaud
New Frontier Advisors
Downloads 197 (176,981)
Citation 1

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7.

Twenty Years of International Equity Investing

Journal of Portfolio Management, Vol. 23, No. 1, 1996
Number of pages: 16 Posted: 09 Feb 2014
Richard O. Michaud, Gary L. Bergstrom, Ronald Frashure and Brian Wolahan
New Frontier Advisors, Acadian Asset Management, Acadian Asset Management and Acadian Asset Management
Downloads 177 (194,679)

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8.

Portfolio Resampling: Review and Critique

Financial Analysts Journal, Vol. 3, 2003
Number of pages: 3 Posted: 08 Mar 2014
Richard O. Michaud and Robert Michaud
New Frontier Advisors and Independent
Downloads 139 (238,096)
Citation 1

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9.

Are Long-Short Equity Strategies Superior?

Financial Analysts Journal, Vol. 49, No. 6, 1993
Number of pages: 6 Posted: 09 Feb 2014
Richard O. Michaud
New Frontier Advisors
Downloads 124 (259,982)
Citation 6

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10.

Risk Policy and Long-Term Investment

Downloads 109 (285,278)
Citation 2

Risk Policy and Long-Term Investment

Journal of Financial and Quantitative Analysis (JFQA), Vol. XVI, No. 2, 1981
Number of pages: 22 Posted: 09 Feb 2014
Richard O. Michaud
New Frontier Advisors
Downloads 60 (411,709)

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Risk Policy and Long-Term Investment

Journal of Financial and Quantitative Analysis (JFQA), Vol. XVI, No. 2, 1981
Number of pages: 22 Posted: 29 Mar 2014
Richard O. Michaud
New Frontier Advisors
Downloads 49 (453,025)

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11.

Comment on 'Markowitz versus Michaud: Portfolio Optimization Strategies Reconsidered,' Becker, Gürtler and Hibbeln, European Journal of Finance, 21(4): 2015

Number of pages: 4 Posted: 26 Jun 2015
Richard O. Michaud, Robert Michaud and David Esch
New Frontier Advisors, Independent and New Frontier Advisors
Downloads 104 (294,740)
Citation 2

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12.

A Practical Framework for Portfolio Choice

Number of pages: 23 Posted: 11 Sep 2015 Last Revised: 29 Sep 2015
Richard O. Michaud
New Frontier Advisors
Downloads 90 (323,654)

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13.

An Examination of Resampled Portfolio Efficiency: A Comment

Financial Analysts Journal, Vol. 1, 2003
Number of pages: 3 Posted: 07 Mar 2014
Richard O. Michaud
New Frontier Advisors
Downloads 90 (323,654)
Citation 1

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14.

Portfolio Monitoring in Theory and Practice

Number of pages: 20 Posted: 10 Sep 2015 Last Revised: 29 Sep 2015
Richard O. Michaud, David Esch and Robert Michaud
New Frontier Advisors, New Frontier Advisors and Independent
Downloads 80 (347,679)
Citation 3

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15.

A Scenario-Dependent Dividend Discount Model: Bridging the Gap between Top-Down Investment Information and Bottom-Up Forecasts

Downloads 69 (377,814)

A Scenario-Dependent Dividend Discount Model: Bridging the Gap between Top-Down Investment Information and Bottom-Up Forecasts

Financial Analysts Journal, 1985
Number of pages: 13 Posted: 09 Feb 2014
Richard O. Michaud
New Frontier Advisors
Downloads 55 (429,774)

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A Scenario-Dependent Dividend Discount Model: Bridging the Gap between Top-Down Investment Information and Bottom-Up Forecasts

Financial Analysts Journal, Nov/Dec 1985
Number of pages: 13 Posted: 06 Feb 2014 Last Revised: 04 Apr 2014
Richard O. Michaud
New Frontier Advisors
Downloads 14 (657,471)

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16.

Investment Styles, Market Anomalies, and Global Stock Selection

The Research Foundation of the Institute of Chartered Financial Analysts, January 1999
Number of pages: 30 Posted: 07 Mar 2014 Last Revised: 25 Mar 2015
Richard O. Michaud
New Frontier Advisors
Downloads 65 (389,973)

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17.

Resampled Portfolio Rebalancing and Monitoring

New Frontier Advisors’ Newsletter 4th quarter, 2002
Number of pages: 5 Posted: 08 Mar 2014
Robert Michaud and Richard O. Michaud
Independent and New Frontier Advisors
Downloads 62 (399,492)
Citation 1

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18.

Demystifying Multiple Valuation Models

Financial Analysts Journal, Jan/Feb 1990
Number of pages: 4 Posted: 06 Feb 2014
Richard O. Michaud
New Frontier Advisors
Downloads 57 (416,220)
Citation 1

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19.

When Michaud Optimization Fails

Number of pages: 10 Posted: 19 Jan 2018
Richard O. Michaud and David Esch
New Frontier Advisors and New Frontier Advisors
Downloads 50 (441,342)

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20.

Reply to 'Reply to 'Comment on 'Markowitz Versus Michaud: Portfolio Optimization Strategies Reconsidered'''

Number of pages: 4 Posted: 20 Apr 2017
Richard O. Michaud, Robert Michaud and David Esch
New Frontier Advisors, Independent and Independent
Downloads 43 (469,467)
Citation 1

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21.

Currency Hedging Policy

Number of pages: 4 Posted: 30 Mar 2014
Richard O. Michaud
New Frontier Advisors
Downloads 43 (469,467)

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22.

Valuation Model Bias and the Scale Structure of Dividend Discount Returns

Journal of Finance, Vol. 37, No. 2, 1982
Number of pages: 13 Posted: 09 Feb 2014 Last Revised: 31 Mar 2014
Richard O. Michaud
New Frontier Advisors
Downloads 43 (469,467)
Citation 2

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23.

The Problem with Target Date Funds

Investment News, May 2010
Number of pages: 3 Posted: 28 Mar 2014
Richard O. Michaud and Robert Michaud
New Frontier Advisors and Independent
Downloads 40 (482,509)

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24.

Comment on: Kritzman, M. 2006, 'Are Optimizers Error Maximizers?'

Forthcoming in the Journal of Portfolio Management
Number of pages: 3 Posted: 12 Dec 2019 Last Revised: 02 Jan 2020
Richard O. Michaud
New Frontier Advisors
Downloads 37 (496,058)
Citation 1

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25.

Are Good Estimates Enough? No

Investment Management Consultants Association, 2009
Number of pages: 4 Posted: 09 Feb 2014
Richard O. Michaud and Robert Michaud
New Frontier Advisors and Independent
Downloads 36 (500,686)

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26.

Pension Policy and Benchmark Optimization

Downloads 35 (505,417)

Pension Policy and Benchmark Optimization

1989 Investment Management Review 3(8): 25-30
Number of pages: 7 Posted: 09 Feb 2014
Richard O. Michaud
New Frontier Advisors
Downloads 25 (577,055)

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Pension Policy and Benchmark Optimization

Investment Management Review, 1988
Number of pages: 7 Posted: 29 Mar 2014
Richard O. Michaud
New Frontier Advisors
Downloads 10 (688,911)

Abstract:

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27.

Is Value Multidemensional? Implications for Style Management and Global Stock Selection

Journal of Investing, 1998
Number of pages: 6 Posted: 07 Feb 2014
Richard O. Michaud
New Frontier Advisors
Downloads 35 (505,417)

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28.

Pension Fund Financial Planning

Downloads 32 (520,623)

Pension Fund Financial Planning

The Institute for Quantitative Research in Finance, 1976
Number of pages: 76 Posted: 29 Mar 2014
Richard O. Michaud
New Frontier Advisors
Downloads 24 (584,025)

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Pension Fund Financial Planning

Paper Presented to: The Institute for Quantitative Research in Finance May 2-5, 1976 Scottsdale, Arizona
Number of pages: 76 Posted: 29 Mar 2014
Richard O. Michaud
New Frontier Advisors
Downloads 8 (704,709)

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29.

Out-Of Sample Tests of Resampled Efficiency

European Pensions and Investment News, June 25, 2001
Number of pages: 4 Posted: 08 Mar 2014
Richard O. Michaud
New Frontier Advisors
Downloads 30 (531,071)

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30.

JOIM Conference Series: Dr. Harry M. Markowitz Interview with Dr. Richard O. Michaud, San Diego, March 6, 2011 Conference Summaries

Journal of Investment Management, Vol. 9, No. 4, (2011), pp. 1-9
Number of pages: 9 Posted: 06 Mar 2014
Richard O. Michaud
New Frontier Advisors
Downloads 30 (531,071)
Citation 1

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31.

Comment: Allen, D., C. Lizieri, S. Satchell 2019. 'In Defense of Portfolio Optimization: What If We Can Forecast?'

Forthcoming, Financial Analysts Journal
Number of pages: 3 Posted: 13 Dec 2019 Last Revised: 22 Feb 2020
Richard O. Michaud, David Esch and Robert Michaud
New Frontier Advisors, New Frontier Advisors and Independent
Downloads 26 (554,076)

Abstract:

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32.

Risk and Compound Return

Seminar on the Analysis of Security Prices, May 13-14, 1976
Number of pages: 46 Posted: 29 Mar 2014
Richard O. Michaud
New Frontier Advisors
Downloads 21 (585,998)
Citation 2

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33.

A New Design for Portfolios

Bloomberg Personal Finance Magazine, July/August 2000
Number of pages: 2 Posted: 08 Mar 2014
Richard O. Michaud
New Frontier Advisors
Downloads 19 (599,362)

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34.

Forecast from the Past

Financial Planning, November 1999
Number of pages: 4 Posted: 29 Mar 2014
Richard O. Michaud and C. Carty
New Frontier Advisors and New Millenium Advisors, LLC
Downloads 16 (619,231)

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35.

Economic Surplus and Pension Asset Management

Number of pages: 7 Posted: 30 Mar 2014
Richard O. Michaud
New Frontier Advisors
Downloads 15 (626,171)
Citation 4

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36.

Comment On: 'The Road Not Taken' by Craig W. French Journal of Investment Management, Vol 14, No. 4, 2016

Forthcoming in Journal of Investment Management 3rd Quarter 2017
Number of pages: 3 Posted: 25 Sep 2017
Richard O. Michaud
New Frontier Advisors
Downloads 13 (640,497)

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37.

A Better Way to Use Information

European Pensions & Investment News, July 9, 2001
Number of pages: 5 Posted: 08 Mar 2014
Richard O. Michaud
New Frontier Advisors
Downloads 13 (640,497)

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38.

Best Rotated Approximation

Number of pages: 37 Posted: 12 Jul 2017
Richard O. Michaud
New Frontier Advisors
Downloads 11 (654,954)

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39.

The Actuarial Interest Rate as an Investment Objective

Bache, 1979
Number of pages: 3 Posted: 29 Mar 2014
Richard O. Michaud
New Frontier Advisors
Downloads 10 (662,070)

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40.

Estimation Error and the 'Fundamental Law of Active Management' Is Quant Fundamentally Flawed?

The Journal of Investing, June 2020; DOI: https://doi.org/10.3905/joi.2020.1.133
Posted: 16 Oct 2019 Last Revised: 01 Oct 2020
Richard O. Michaud, David Esch and Robert Michaud
New Frontier Advisors, New Frontier Advisors and Independent

Abstract:

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active management, portfolio construction, asset allocation, quantitative finance, Fundamental Law of Active Management, optimization

Other Papers (1)

Total Downloads: 13
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1.

Discussion on Article by Campbell R. Harvey, John C. Liechty and Merill W. Liechty, Bayes vs. Resampling: A Rematch (2008, Volume 6 Number 1)

Journal of Investment Management, Volume 6 Number 1 (2008)
Number of pages: 2 Posted: 28 Jun 2015 Last Revised: 11 Sep 2015
Richard O. Michaud and Robert Michaud
New Frontier Advisors and Independent
Downloads 13

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