The New Frontier Institute for Asset Management in Practice is designed to be a scholarly repository and resource for academics, investment professionals, and investors attempting to understand the evolution of quantitative asset management beginning in the late third of the 20th century. Dr. Richard Michaud’s fifty-year legacy of published research and professional presentations represents the foundational archive of the Institute. This research also represents the quantitative methods and procedures that have evolved and been put into practice with contributions by Robert Michaud and Dr. David Esch since New Frontier Advisors was established in 1999.
Below you will find a fifty-year chronicle of all New Frontier Institute Research in chronological order.
| Title | Publication Date | Format | Publication | Author |
|---|---|---|---|---|
| Error Direction Dependence and Best Straight Line Approximations | 1969 | Research Study | Thesis | Richard Michaud |
| Best Rotated Minimax Approximation | 1970 | Research Study | Dissertation | Richard Michaud |
| Expected Utility and the Michaud Efficient Frontier | 2022 | White Paper | Research Announcement | Richard Michaud |
| Pension Fund Financial Planning | 1976 | Article | The Institute for Quantitative Research in Finance | Richard Michaud |
| Risk and Compound Return | 1976 | Seminar | Seminar on the Analysis of Security Prices | Richard Michaud |
| Richard Roll and Tests of the Capital Asset Pricing Model | 1979 | Article | Heard on the Random Walk, Bache NYC | Richard Michaud |
| Dividend Tilt Portfolios, The Tax Effect and Misspecified Returns | 1979 | Article | Heard on the Random Walk, Bache NYC | Richard Michaud |
| Market Inefficiency and Asset Pricing Theory: Recent Trends II | 1979 | Article | Heard on the Random Walk, Bache NYC | Richard Michaud |
| Market Inefficiency and Asset Pricing Theory: Recent Trends III | 1979 | Article | Heard on the Random Walk, Bache NYC | Richard Michaud |
| The Actuarial Interest Rate as an Investment Objective | 1979 | Article | Heard on the Random Walk, Bache NYC | Richard Michaud |
| Risk Policy and Long-Term Investment | 1981 | Journal | Journal of Financial and Quantitative Analysis | Richard Michaud |
| Comparison of Optimal vs. Stationary Multiperiod Investment Policies | 1986 | Article | Institute for Quantitative Research in Finance | Richard Michaud and James Monohan |
| Diversification, Capital Gains Taxes and Long Term Return | 1986 | White Paper | - | Richard Michaud |
| Valuation Model Bias & the Scale Structure of Dividend Discount Returns | 1982 | Journal | Journal of Finance | Richard Michaud and Paul Davis |
| A Scenario-Dependent Dividend Discount Model: Bridging the Gap Between Top-Down Investment Information and Bottom-Up Forecasting | 1985 | Journal | Financial Analysts Journal | Richard Michaud |
| Another Look and Dividend Discount Models | 1985 | Article | Institute for Quantitative Research in Finance | Richard Michaud |
| Pension Policy and Benchmark Optimization | 1988 | Journal | Investment Management Review | Richard Michaud |
| The Optimization Enigma: Is Optimized Optimal? | 1988 | Seminar | Seminar on the Analysis of Security Prices | Richard Michaud |
| Problems and Some Solutions for Mean Variance Optimizers | 1988 | Article | Institute for Quantitative Research in Finance | Richard Michaud |
| Economic Surplus and Pension Asset Management | 1989 | Journal | Merrill Lynch Capital Markets | Richard Michaud |
| The Markowitz Optimization Enigma: Is Optimized Optimal? | 1989 | Journal | Financial Analysts Journal | Richard Michaud |
| How to Optimize Properly | 1989 | Article | INQUIRE | Richard Michaud |
| The Markowitz Optimization Enigma: Is Optimized Optimal? | 1989 | Article | Institute for Chartered Financial Analysts | Richard Michaud |
| Demystifying Multiple Valuation Models | 1990 | Journal | Financial Analysts Journal | Richard Michaud |
| Time Option Rebalancing | 1990 | Article | INQUIRE | Richard Michaud |
| Trading Costs and Portfolio Trading Strategies | 1990 | Article | Northfield Information Services | Richard Michaud |
| Are Long-Short Equity Strategies Superior? | 1993 | Journal | Financial Analysts Journal | Richard Michaud |
| Long vs Long-Short Equity Investing | 1993 | Article | INQUIRE | Richard Michaud |
| Statistical Mean-Variance Asset Allocation | 1994 | Article | Institute for Quantitative Research in Finance | Richard Michaud |
| Currency Hedging Policy | 1994 | White Paper | Acadian Asset Management | Richard Michaud |
| An Overview of Long/Short Strategies in Equities | 1995 | Article | Institute for Quantitative Research in Finance | Richard Michaud |
| Twenty Years of International Equity Investing | 1996 | Journal | The Journal of Portfolio Management | Richard Michaud, Gary Bergstrom, Ronald Frashure, and Brian Wolahan |
| Investment Styles, Market Anomalies, and Global Stock Selection | 1996 | Article | Institute for Quantitative Research in Finance | Richard Michaud |
| Investment Styles, Market Anomalies, and Global Stock Selection | 1997 | Article | INQUIRE | Richard Michaud |
| Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation | 1998 | Book | Harvard University Press | Richard Michaud |
| Is Value Multidimensional? Implications for Style Management and Global Stock Selection | 1998 | Journal | The Journal of Investing | Richard Michaud |
| New View of Mean Variance | 1998 | Article | Financial Planning Magazine | Richard Michaud |
| Efficient Asset Management: A Review | 1998 | Article | Institute for Quantitative Research in Finance | Richard Michaud |
| Forecast from the Past | 1999 | Article | Financial Planning Magazine | Richard Michaud and Michael Carty |
| Investment Styles, Market Anomalies, and Global Stock Selection | 1999 | Book | The Research Foundation of the Institute of Chartered Financial Analysts | Richard Michaud |
| Behavioral Finance in Practice | 1999 | Article | Institute for Quantitative Research in Finance | Richard Michaud |
| Efficient Asset Management: 10-week course | 1999 | Course | Boston Security Analysts Society | Richard Michaud |
| A New Design for Portfolios | 2000 | Article | Bloomberg Personal Finance | Richard Michaud |
| A Better Way to Use Information | 2001 | Article | European Pensions & Investment News | Richard Michaud |
| Aspects: Resampled Efficient Asset Allocation | 2001 | Article | Frontier News Newsletter | Richard Michaud |
| Out-of-Sample Tests of Resampled Efficiency | 2001 | Article | European Pensions & Investment News | Richard Michaud |
| Facts and Fallacies of Geometric Mean Return | 2002 | Article | Institute for Quantitative Research in Finance | Richard Michaud |
| An Introduction to Resampled Efficiency | 2002 | Journal | Investment Management Consulting Association's Monitor | Richard Michaud |
| Resampled Portfolio Rebalancing and Monitoring | 2002 | Article | New Frontier Newsletter | Robert Michaud and Richard Michaud |
| The Behavioral Finance Hoax | 2002 | Article | New York Society of Security Analysts | Richard Michaud |
| The Behavioral Finance Hoax: Two Days of Lectures | 2002 | Course | Boston Security Analysts Society | Richard Michaud |
| A Practical Framework For Portfolio Choice | 2003 | Journal | Journal Of Investment Management | Richard Michaud |
| Letters to the Editor: 'An Examination of Resampled Portfolio Efficiency': A Comment | 2003 | Journal | Financial Analysts Journal | Richard Michaud |
| Introduction to Resampled Efficiency | 2003 | Article | The Monitor: Investment Management Consultants Association | Richard Michaud |
| Liquidity and Portfolio Optimization | 2003 | White Paper | New Frontier Newsletter | Robert Michaud and Richard Michaud |
| Optimal and Investable Portfolios | 2003 | White Paper | New Frontier Newsletter | Richard Michaud and Robert Michaud |
| Resampled Efficiency For Financial Planning and Return Forecasting | 2003 | White Paper | New Frontier Newsletter | Richard Michaud and Robert Michaud |
| Resampled Efficiency Issues | 2003 | White Paper | New Frontier Newsletter | Richard Michaud and Robert Michaud |
| Equity Optimization Issues-I | 2004 | White Paper | New Frontier Newsletter | Richard Michaud and Robert Michaud |
| Forecast Confidence Level and Portfolio Optimization | 2004 | White Paper | New Frontier Newsletter | Richard Michaud and Robert Michaud |
| Resampled Efficiency Fallacies | 2003 | White Paper | New Frontier Newsletter | Richard Michaud and Robert Michaud |
| Resampled Efficiency vs. Bayes: Implications for Asset Management | 2004 | White Paper | New Frontier Newsletter | Richard Michaud and Robert Michaud |
| Why Mean-Variance Optimization Isn't Useful for Investment Management | 2004 | White Paper | New Frontier Newsletter | Richard Michaud |
| New Developments in Financial Engineering | 2005 | Article | Institute for Quantitative Research in Finance | Richard Michaud |
| Equity Optimization Issues-II: Large Stock Universes and Scaling Alphas | 2005 | White Paper | New Frontier Newsletter | Richard Michaud and Robert Michaud |
| Equity Optimization Issues-III: Insignificant Alphas, Heterogeneous Errors | 2005 | White Paper | New Frontier Newsletter | Richard Michaud and Robert Michaud |
| Equity Optimization Issues-IV: The Fundamental Law of Mismanagement | 2005 | White Paper | New Frontier Newsletter | Richard Michaud and Robert Michaud |
| Equity Optimization Issues-V: Monte Carlo and Optimization Errors | 2005 | White Paper | New Frontier Newsletter | Richard Michaud and Robert Michaud |
| Resampled Efficiency Equity Portfolio Optimizer | 2005 | White Paper | New Frontier Newsletter | Richard Michaud and Robert Michaud |
| Return Objective for Social Security Private Accounts: A Review of the President's Commission Investment Alternatives | 2005 | White Paper | New Frontier Newsletter | Richard Michaud, Robert Michaud, and Noah Kraut |
| Scherer's Errors | 2005 | White Paper | New Frontier Newsletter | Richard Michaud and Robert Michaud |
| The Information Ratio of Factor Based Alpha | 2005 | White Paper | New Frontier Newsletter | Noah Kraut, Richard Michaud, and Robert Michaud |
| Gold as a Strategic Asset | 2006 | Research Study | World Gold Council | Richard Michaud, Robert Michaud, and Katharine Pulvermacher |
| Risk-Returns For Strategic Financial Planning | 2006 | Research Study | AssetMark Investment Services | Richard Michaud and Matthew Pierce |
| Efficient Asset Management, 2nd Edition | 2008 | Book | Oxford University Press | Richard Michaud and Robert Michaud |
| Discussion on Article by Cambell R. Harvey, John C. Liechty and Merril W. Liechty, Bayes vs. Resampling: A Rematch | 2008 | Journal | Journal Of Investment Management | Richard Michaud and Robert Michaud |
| Estimation Error and Portfolio Optimization | 2008 | Journal | Journal Of Investment Management | Richard Michaud and Robert Michaud |
| Are Good Estimates Enough? No | 2009 | Journal | The Monitor: Investment Management Consultants Association | Richard Michaud and Robert Michaud |
| Target Date Funds Aren't a Panacea | 2010 | Article | Investment News | Richard Michaud and Robert Michaud |
| Morningstar vs. Michaud Optimization | 2012 | White Paper | New Frontier White Paper | Richard Michaud and David Esch |
| Portfolio Monitoring in Theory and Practice | 2012 | Journal | Journal Of Investment Management | Richard Michaud, David Esch, and Robert Michaud |
| Deconstructing Black-Litterman | 2013 | Journal | Journal Of Investment Management | Richard Michaud, Robert Michaud, and David Esch |
| Book Review: The Capital Asset Pricing Model in the 21st Century (Levy) | 2013 | Journal | Quantitative Finance | Richard Michaud |
| Comment on 'Markowitz versus Michaud: Portfolio Optimization Strategies Reconsidered,' Becker, Gürtler and Hibbeln | 2015 | Article | SSRN | Richard Michaud, David Esch, and Robert Michaud |
| Comment on: "The Road Not Taken" by C. French, Journal Of Investment Management 14(4): 4-13 | 2017 | Journal | Journal Of Investment Management | Richard Michaud |
| Reply to 'Reply to 'Comment on 'Markowitz versus Michaud: Portfolio Optimization Strategies Reconsidered,' Becker, Gürtler and Hibbeln | 2017 | Article | SSRN | Richard Michaud, Robert Michaud, and David Esch |
| When Michaud Optimization Fails | 2017 | White Paper | New Frontier White Paper | Richard Michaud and David Esch |
| Finance's Wrong Turn: 5-Week Course | 2018 | Course | CFA Society Boston | Richard Michaud |
| Finance's Wrong Turns: 5-Week Course | 2019 | Course | CFA Society Boston | Richard Michaud |
| Comment on: Allen, D., C. Lizieri, S. Satchell 2019. "In Defense of Portfolio Optimization: What If We Can Forecast?” | 2020 | Journal | Financial Analysts Journal | Richard Michaud, David Esch, and Robert Michaud |
| Comment on: Kritzman, M. 2006, “Are Optimizers Error Maximizers?” | 2020 | Journal | Forthcoming in Journal of Portfolio Management | Richard Michaud |
| Estimation Error and the Fundamental Law of Active Management: Is Quant Fundamentally Flawed? | 2020 | Journal | The Journal of Investing | Richard Michaud, David Esch, Robert Michaud |
| Estimation Error and the "Fundamental Law of Active Management": Technical Companion | 2020 | Technical Companion | The Journal of Investing | David Esch |
| Is Quant Fundamentally Flawed?: Webinar Transcript | 2020 | Transcript | CFA Presentation | Richard Michaud, David Esch, Robert Michaud |