The Efficient Frontier: A Note on the Curious Difference between Variance and Standard Deviation

The Markowitz frontier of optimal portfolios is valid in both mean–variance space and mean–standard deviation space. There are, however, some curious differences because lines one become curves the other. This article explores explains curiosity. Key Findings ▪ capital allocation line a curve that connects riskless rate with tangency portfolio, but it not line. Volatility can be either standard or variance, their efficient geometry curiously different.