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Efficient Frontier

 
A portfolio is the combination of securities (Stock, Bond, Mutual fund, etc.). Different combinations of such securities produce different levels of return.

Efficient portfolio is a portfolio of risky assets that gives the lowest variance (Risk) of return amongst all portfolios with same expected return.

The Efficient Frontier represents the set of all efficient portfolios.

The efficient frontier concept was introduced by Harry Markowitz in 1952 and is a cornerstone of modern portfolio theory. In 1990 Harry Markowitz was awarded Nobel Prize for this concept.

Since the efficient frontier is curved, rather than linear, a key finding of the concept was the benefit of diversification. Optimal portfolios that comprise the efficient frontier tend to have a higher degree of diversification than the sub-optimal ones, which are typically less diversified. 
 Portfolio Statistics  PORT 'A' PORT 'B'
Return (annual) 31.97% 16.81%
Standard Deviation (annual) 39.01% 0.00%
Variance (annual) 15.2169% 0.0000%
PORT 'A'  Highest return fund/category/ sector/ index 
PORT 'B'  Least SD fund/category/ sector/ index 
 
SINGLE PORTFOLIO CALCULATION
CoVar (A,B)   0.0000000
Correlation (A,B)   0.05
Risk free rate   6%
Wt A + Wt B   100%
GMVP Global Minimum Variance Portfolio
T Tancency Portfolio (Max. Sharpe Ratio)


 
 
 
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