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. Journal of Portfolio Management, 48 (1). pp. 93-97. ISSN 0095-4918. doi:10.3905/jpm.2021.1.300. https://resolver.caltech.edu/CaltechAUTHORS:20220113-731921500

Full text is not posted in this repository. Consult Related URLs below.

Use this Persistent URL to link to this item: https://resolver.caltech.edu/CaltechAUTHORS:20220113-731921500

Abstract

The Markowitz frontier of optimal portfolios is valid in both mean–variance space and in mean–standard deviation space. There are, however, some curious differences because lines in one space become curves in the other. This article explores and explains the curiosity.


Item Type:Article
Related URLs:
URLURL TypeDescription
https://doi.org/10.3905/jpm.2021.1.300DOIArticle
https://resolver.caltech.edu/CaltechAUTHORS:20210701-232908304Related ItemWorking Paper
Additional Information:© 2021 Pageant Media Ltd. Published online November 1, 2021.
Issue or Number:1
DOI:10.3905/jpm.2021.1.300
Record Number:CaltechAUTHORS:20220113-731921500
Persistent URL:https://resolver.caltech.edu/CaltechAUTHORS:20220113-731921500
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:112882
Collection:CaltechAUTHORS
Deposited By: Tony Diaz
Deposited On:13 Jan 2022 23:08
Last Modified:13 Jan 2022 23:08

Repository Staff Only: item control page