Читать книгу Asset Allocation - William Kinlaw, Mark P. Kritzman - Страница 57

With this information, we use optimization to combine asset classes efficiently, so that for a given level of expected return the efficiently combined asset classes offer the lowest level of risk, measured as the standard deviation. A continuum of these portfolios plotted in dimensions of expected return and standard deviation is called the efficient frontier, as we discussed earlier.

There are a variety of methods for identifying portfolios that reside along the efficient frontier. We next describe two methods and illustrate them with a hypothetical portfolio that consists of just two asset classes: stocks and bonds.