RT Journal Article SR Electronic T1 Arithmetic and Continuous Return Mean-Variance Efficient Frontiers JF The Journal of Investing FD Institutional Investor Journals SP 62 OP 69 DO 10.3905/JOI.2009.18.3.062 VO 18 IS 3 A1 Robert A Ferguson A1 Dean Leistikow A1 Susana Yu YR 2009 UL https://pm-research.com/content/18/3/62.abstract AB The arithmetic mean-variance frontier shows that taking more risk is always rewarded with higher expected arithmetic return. This article shows that there is a danger from being too aggressive that is not reflected in the arithmetic return mean-variance frontier because expected arithmetic return is a poor indicator of long-term arithmetic return. Since long-term arithmetic return is equivalent to long-term average continuous return, the relevant mean-variance frontier replaces expected arithmetic return with expected continuous return. The article shows that, for the continuous return mean-variance frontier, expected return initially rises, then declines and becomes negative as risk increases.TOPICS: Factors, risk premia, portfolio theory, portfolio construction