Published November 2021
| public
Journal Article
The Efficient Frontier: A Note on the Curious Difference between Variance and Standard Deviation
- Creators
- Roll, Richard
Chicago
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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.
Additional Information
© 2021 Pageant Media Ltd. Published online November 1, 2021.Additional details
- Eprint ID
- 112882
- Resolver ID
- CaltechAUTHORS:20220113-731921500
- Created
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2022-01-13Created from EPrint's datestamp field
- Updated
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2022-01-13Created from EPrint's last_modified field