RT Journal Article SR Electronic T1 Parameter Estimation Techniques, Optimization Frequency, and Portfolio Return Enhancement JF The Journal of Portfolio Management FD Institutional Investor Journals SP 27 OP 34 DO 10.3905/jpm.2001.319810 VO 27 IS 4 A1 Glen A. Larsen, Jr. A1 Bruce G. Resnick YR 2001 UL https://pm-research.com/content/27/4/27.abstract AB Modern portfolio theory dictates that the lower the pairwise correlation between securities, the greater the potential for efficiency enhancement from ex ante optimization. When securities exhibit a high degree of pairwise correlation, ex ante optimization should provide less potential for efficiency enhancement. It is an empirical issue as to whether ex ante return estimation and optimization techniques can provide strict return enhancement in risk–return space. Strict return enhancement, without the use of leverage, may be possible if ex ante portfolio parameter estimation techniques allow securities with higher realized returns to carry greater weights in the ex ante optimal portfolio than in the benchmark portfolio. The authors of this article examine how various ex ante portfolio parameter estimation techniques and optimization/holding–period frequency intervals can enhance managed portfolio returns. Overall, the results suggest that it is possible to consistently achieve enhanced returns at much the same level of return per unit of risk as the benchmark portfolio.