CONCEPT GENERALIZATION:
MAXIMAL CE-VALUE FRONTIER
TRADITIONAL: Vary aspiration return level from min to max
Get: MEAN-VARIANCE EFFICIENT FRONTIER
MODERN: Vary risk tolerance from 0 to infinity
Get: MAXIMAL CE-VALUE FRONTIER
THEOREM:
For the classical portfolio optimization problem under normal assumptions, the
MEAN-VARIANCE EFFICIENT FRONTIER
IS EQUIVALENT TO THE
MAXIMAL CE-VALUE FRONTIER.
Note: For Asymmetric and multiple-scenario portfolio models, the two frontiers may be radically different.