Published July 6, 2021
| Accepted Version
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The Efficient Frontier: A Note on the Curious Difference Between Variance and Standard Deviation
- Creators
- Roll, Richard
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.
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Accepted Version - sswp_1456.pdf
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Additional details
- Eprint ID
- 109716
- Resolver ID
- CaltechAUTHORS:20210701-232908304
- Created
-
2021-07-06Created from EPrint's datestamp field
- Updated
-
2022-01-13Created from EPrint's last_modified field
- Caltech groups
- Social Science Working Papers
- Series Name
- Social Science Working Paper
- Series Volume or Issue Number
- 1456