Published July 2021
| Version Accepted Version
Working Paper
Open
The Efficient Frontier: A Note on the Curious Difference Between Variance and Standard Deviation
Creators
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.
Attached Files
Accepted Version - sswp_1456.pdf
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sswp_1456.pdf
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(252.0 kB)
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Additional details
Identifiers
- Eprint ID
- 109716
- Resolver ID
- CaltechAUTHORS:20210701-232908304
Related works
- Describes
- https://resolver.caltech.edu/CaltechAUTHORS:20220113-731921500 (URL)
Dates
- Created
-
2021-07-06Created from EPrint's datestamp field
- Updated
-
2022-01-13Created from EPrint's last_modified field
Caltech Custom Metadata
- Caltech groups
- Social Science Working Papers
- Series Name
- Social Science Working Paper
- Series Volume or Issue Number
- 1456