Markowitz Portfolio Theory教学讲义.pptVIP

RMIT University Efficient set Efficient set – the set of mean-variance choices from the investment opportunity set where for a given variance (or standard deviation) no other investment opportunity offers a higher mean return. E(rp) σp RMIT University RMIT University Slide * Efficient Frontier Curve Decreases steadily as we move upward the curves implication: adding increments of risk as we move up the frontier gives diminishing increments of expected return Slope of efficient frontier Selection of the Optimal Portfolio How will the investor go about selecting the optimal portfolio? Inves