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Derivation of the Expected Value-Variance Frontier without a Risk-free Asset

Derivation of the Expected Value-Variance Frontier without a Risk-free Asset. Lecture X. Mathematical derivation without a Risk-free asset. General Formulation. Mean-variance frontier without a risk-free asset:. Lagrange Formulation. Looking at the constraints.

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Derivation of the Expected Value-Variance Frontier without a Risk-free Asset

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  1. Derivation of the Expected Value-Variance Frontier without a Risk-free Asset Lecture X

  2. Mathematical derivation without a Risk-free asset • General Formulation

  3. Mean-variance frontier without a risk-free asset:

  4. Lagrange Formulation

  5. Looking at the constraints

  6. Returning to the Lagrange formulation

  7. Solving the constraints

  8. Stock portfolio example

  9. Fixing μ=0.05

  10. Fixing μ=0.04, note A, B, and C remain unchanged.

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