Tag: Efficient Frontier

  • The Capital Market Line—Is it the Holy Grail?

    In a previous post, we introduced the concept of the efficient frontier. The efficient frontier concept is frequently presented in a graph, such as the following. Capital Market Line Now comes the insight of a single “efficient risky portfolio.” The assumption is that an investor can choose to allocate his…

  • Does Mean-Variance Optimization Help with Risk Management?

    How many times have you heard, or said, “past performance is no guarantee of future performance” or something similar? SEC rule 482 explicitly contains the language “past performance does not guarantee future results,” and the SEC requires this language in rule 482 advertisements. While past performance may not predict future…