Mean-Variance Optimization based on weekly Data

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Matthias
Matthias il 14 Mar 2012
Hello folks.
I don't know if it is the right forum to post a finance question but since i'm pretty desperate i'll just give it a try.
The aim of the optimization was finding the efficient frontier in which i suceeded. The results are in my point of view only valid for the time period over that has been optimized (in my case 1 week)
An annualization (standard deviation*sqrt(52), (1+return)^52) doesn't give me the same results as an optimization of yearly return would have provided.
Am i right?
Sorry to bother you with such questions.
Greetings and a nice day.
Matthias

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