CaltechAUTHORS
  A Caltech Library Service

The Efficient Frontier: A Note on the Curious Difference Between Variance and Standard Deviation

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 (Unpublished) https://resolver.caltech.edu/CaltechAUTHORS:20210701-232908304

[img] PDF (SSWP 1456 - July 2021) - Accepted Version
See Usage Policy.

252kB

Use this Persistent URL to link to this item: https://resolver.caltech.edu/CaltechAUTHORS:20210701-232908304

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)
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:18 Aug 2021 17:27

Repository Staff Only: item control page