The mean-variance approach to SAA
• A minimum-variance frontier (MVF) is the set of portfolios with the smallest
variances for their level of return
• The furthest point to the left is the global minimum-variance (GMV) portfolio
• The mean-variance optimizer (MVO) can be used to determine the asset class
weights in a portfolio after identifying the efficient portfolio and the
corresponding expected return and variance
For more information on the CFA please visit www.7city.com/cfa
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