TRADITIONAL (Minimum Variance) Formulation

Here r₀ is a target rate of return. This is varied parametrically from 0 up to the maximum of the r_i’s.

MODERN (Maximum CE-Value) Formulation

Here t is the risk tolerance in the exponential utility function. It is varied parametrically from 0+ up until the allocation is made entirely to the category having the maximum r_i.

NOTE: Both parametric variations yield the identically same Mean-Variance Efficient Frontier.