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If you think about the two-dimensional efficiency/robustness space you can pretty easily see how it's isomorphic to the return/volatility space by way of simple
by aaron-santos 6y ago
If you think about the two-dimensional efficiency/robustness space you can pretty easily see how it's isomorphic to the return/volatility space by way of simple transformations. If yourself to be convinced that such a bridge exists you can also bring tools in the return/volatility space back into the efficiency/robustness space by applying the appropriate inverse transformations. Maybe the conclusions are common sense, but I'd still read a blog framing that process by way of analogy.
- aaron-santos 6y agoEDIT: If you allow yourself.. :/
- MadSudaca 6y agoInteresting idea, thanks for sharing.