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
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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 | |||||||||
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| 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 |
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