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  • Markowitz’s mean-variance frontier
  • Tobin separation and the tangency portfolio
  • Merton’s analytic frontier
  • DeMiguel-Garlappi-Uppal: optimal versus 1/N
  • Mean-variance

Mean-variance#

Portfolios with the least variance for their mean, with and without short sales and a riskless asset, and the naive benchmark they struggle to beat out of sample.

Markowitz’s mean-variance frontier

Markowitz's mean-variance frontier

Tobin separation and the tangency portfolio

Tobin separation and the tangency portfolio

Merton’s analytic frontier

Merton's analytic frontier

DeMiguel-Garlappi-Uppal: optimal versus 1/N

DeMiguel-Garlappi-Uppal: optimal versus 1/N
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