Portfolio Resampling: Review and Critique

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Portfolio selection with higher moments (2010, unknown): “…probability model.z In an attempt to maintain the decision simplicity associated with the efficient frontier and still accommodate parameter uncertainty, Michaud (1998) proposes a sampling based method for estimating a ‘resampled efficient frontier’ (see Scherer 2002, 2006 for further discussion).”
Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy? (2009, unknown): “5 Michaud (1998) has advocated the use of resampling methods; Scherer (2002) and Harvey et al. (2003) discuss the various limitations of this approach. optimization.”
Multivariate Shrinkage for Optimal Portfolio Weights (2007, background): “Michaud (1998) and Scherer (2002) propose estimating the moments from the historical data, simulating paths of returns using these moments, calculating weights for each path and averaging over these weights.”
Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2004, unknown): “Scherer (2002) describes the resampling approach in detail and discusses some of its limitations, while Harvey, Liechty, Liechty, and M˜uller (2003) discuss other limitations and provide an estimate of the loss incurred by an investor who chooses a portfolio based on this approach.”