Roll, Richard (2021) The Efficient Frontier: A Note on the Curious Difference Between Variance and Standard Deviation. Social Science Working Paper, 1456. California Institute of Technology , Pasadena, CA. (Unpublished) https://resolver.caltech.edu/CaltechAUTHORS:20210701-232908304
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Abstract
The Markowitz Frontier of optimal portfolios is valid in both mean/variance space and in mean/standard deviation space. But there are some curious differences because lines in one space become curves in the other. This note explores and explains the curiosity.
| Item Type: | Report or Paper (Working Paper) | ||||||
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| Group: | Social Science Working Papers | ||||||
| Subject Keywords: | Efficient Frontier, Variance, Standard Deviation | ||||||
| Series Name: | Social Science Working Paper | ||||||
| Issue or Number: | 1456 | ||||||
| Classification Code: | G10, G11 | ||||||
| Record Number: | CaltechAUTHORS:20210701-232908304 | ||||||
| Persistent URL: | https://resolver.caltech.edu/CaltechAUTHORS:20210701-232908304 | ||||||
| Usage Policy: | No commercial reproduction, distribution, display or performance rights in this work are provided. | ||||||
| ID Code: | 109716 | ||||||
| Collection: | CaltechAUTHORS | ||||||
| Deposited By: | Mary Martin | ||||||
| Deposited On: | 06 Jul 2021 18:16 | ||||||
| Last Modified: | 13 Jan 2022 22:31 |
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