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Efficient Frontier

Efficient Frontier Overview

This tool uses mean-variance optimization to calculate and plot the efficient frontier for the specified asset classes, mutual funds, ETFs, or stocks based on historical returns or forward-looking capital market assumptions The efficient frontier shows the set of optimal portfolios that provide the best possible expected return for the level of risk in the portfolio. Monte Carlo method can be used for more robust optimization that resamples the optimization inputs in order to mitigate the impact of input estimation errors and improve diversification. The required inputs for the efficient frontier include the portfolio assets. You can optionally specify the asset allocation and allocation constraints for the portfolio assets. If an asset allocation is specified, the provided portfolio will be rendered on the efficient frontier chart.

Efficient Frontier Configuration

Efficient Frontier Assets
Allocation
Expected Return
Volatility
Min. Weight
Max. Weight
Group
1
%
%
%
%
%
2
%
%
%
%
%
3
%
%
%
%
%
4
%
%
%
%
%
5
%
%
%
%
%
6
%
%
%
%
%
7
%
%
%
%
%
8
%
%
%
%
%
9
%
%
%
%
%
10
%
%
%
%
%
Total
%
Asset Groups
Min. Weight
Max. Weight
A
%
%
B
%
%
C
%
%
D
%
%
E
%
%
F
%
%