The efficient frontier is dead; long live the efficient frontier

The Nobel Prize winning Harry Markowitz contributed much on the subject of the efficient frontier, which represents portfolios of investment assets with the optimal trade-off between risk and return. These portfolios are determined using an optimisation based on the mean, variance and covariance between the assets' returns. The now famous 1986 study by Brinson, Hood and Beebower identified that over 90% of return variability of a portfolio was down to its asset allocation rather than security se