Three-Asset Efficient Frontier

Initializing live version
Download to Desktop

Requires a Wolfram Notebook System

Interact on desktop, mobile and cloud with the free Wolfram Player or other Wolfram Language products.

Consider three assets with expected returns and standard deviations of returns ; i = 1, 2, 3. Let the correlation coefficient between asset i and asset j be . Each blue point represents the expected return and the standard deviation of return of a portfolio created by a specific combination of the three assets. The orange line, known as the efficient frontier, sketches out the portfolio combinations such that for any expected return, the volatility (or standard deviation of return) is the lowest; and for any level of volatility, the expected return is the highest.

Contributed by: Fiona Maclachlan (March 2011)
Open content licensed under CC BY-NC-SA




Feedback (field required)
Email (field required) Name
Occupation Organization
Note: Your message & contact information may be shared with the author of any specific Demonstration for which you give feedback.