The efficient frontier is the set of portfolios offering minimum variance for given return.

Evidence

Of the set of attainable portfolios, a subset (shown by the thicker “southeast” edge of the attainable set) is going to be efficient. From points in this subset one cannot move down (to a portfolio with the same expected return but lower variance) or to the right (to a portfolio with the same variance but greater expected return) without leaving the attainable set. The subset therefore represents the portfolios that offer “minimum Vfor given E or more and maximum E for given Vor less” (Markowitz 1952, p. 82): it is what was later to be called the “efficient frontier” of the set of portfolios that can be constructed from the given securities. — Donald MacKenzie, An Engine, Not a Camera, 214

Categorization

• DEFINE: Precisely defines the efficient-frontier concept essential to following the performativity argument about Markowitz’s model.
• XREF: connects to: CAPM states expected return is linear in beta against an optimal portfolio. — Donald MacKenzie, An Engine, Not a Camera: How Financial…, 240

Broader Connections

• CAPM states expected return is linear in beta against an optimal portfolio. #expands (0.82) — Donald MacKenzie, An Engine, Not a Camera, 240