Boston Public Library

History of New Frontier's Research

New Frontier specializes in the development and application of state-of-the-art investment technology. We began with an improvement of mean variance optimization, which had been the standard portfolio optimization process for almost fifty years.

While mean variance optimization is theoretically sound, it yields impracticable results because it treats risk and return inputs as facts, even though they are estimates.  Dr. Richard Michaud, with his son Robert Michaud, developed Michaud Resampled Efficiency™, a portfolio optimization process that accounts for the uncertainty inherent in investment.  In 1998, Dr. Michaud published his findings in Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation (second edition: Oxford University Press, 2008). The book garnered immediate attention.  The following year, the Michauds patented Resampled Efficiency and founded New Frontier. 

Michaud optimization was only the beginning of New Frontier's contributions to modern finance. Since then, New Frontier has been awarded three more patents for innovations in investment management. Some highlights include the Rebalancing Test, Forecast Confidence, and post-optimization tools. Recently, New Frontier has presented research on non-normality at the Journal Of Investment Management Conference and on target date funds at the joint Securities and Exchange Commission/Department of Labor hearings.

Explore our research in more detail by perusing our articles or listen to an introductory presentation on Michaud optimization.