Читать книгу Asset Allocation - William Kinlaw, Mark P. Kritzman - Страница 50

Markowitz also demonstrated that, for given levels of risk, we can identify particular combinations of asset classes that maximize expected return. He deemed these portfolios “efficient” and referred to a continuum of such portfolios in dimensions of expected return and standard deviation as the efficient frontier. According to Markowitz's E-V maxim, investors should choose portfolios located along the efficient frontier. It is almost always the case that there exists some portfolio on the efficient frontier that offers a higher expected return and less risk than the least risky of its component asset classes (assuming the least risky asset class is not completely risk free). However, the portfolio with the highest expected return will always be allocated entirely to the asset class with the highest expected return (assuming no leverage).