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Published November 2021 | public
Journal Article

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

Roll, Richard

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.

Additional Information

© 2021 Pageant Media Ltd. Published online November 1, 2021.

Additional details

Created:
August 22, 2023
Modified:
October 23, 2023