1. ¹is a PhD student at the Institute for Mathematical Finance at TU München. Previously she worked in asset management consulting as a financial engineer at Risklab Germany. She holds Master's degrees in mathematics from Universität Ulm and San Diego State University.
2. ²is Senior Risk Analyst at Allianz Group, where he is responsible for risk methodology. He holds a PhD in mathematics from FAU Erlangen. He is also a lecturer in financial optimisation at TU München.

Correspondence: Katrin Schöttle, TU München, Institute for Mathematical Finance, Boltzmannstr. 3 85748 Garching bei München, Germany, Tel: +49 89 289-17411; e-mail: schoettle@ma.tum.de

Received 30 April 2006.

Abstract

In recent years, new ideas for the robustification of the traditional Markowitz frontier have appeared in the literature. Driven by the needs of an asset management company, two promising approaches have been investigated more thoroughly. After briefly summarising these new methods, this paper compares them on a qualitative and quantitative basis. Numerical results support the expectation that the robustification adds value to the quantitative asset management process.