Skip to content
Berk Günberk
Theme

1972 · Journal of Financial and Quantitative Analysis

An Analytic Derivation of the Efficient Portfolio Frontier

What it asks

Markowitz's solution is an optimisation procedure; you find the frontier point by point. Merton writes the same frontier algebraically. The value is conceptual rather than practical: why the frontier has the shape it has, and which parameter shifts it in which direction, becomes visible inside the formula.

What this paper connects to

  • Builds on · 1952

    Portfolio Selection

    Derives the efficient frontier in closed form rather than by numerical search, making its algebraic shape visible.