Feasible set and mean-variance portfolio, stocks vs. bonds, 1993 to 2010

Normally, you'd expect a much higher contribution from stocks. Not so between 1993 and 2010.

If you could magically look back and forecast, the optimal portfolio was 97 percent in bonds and just 3 percent in stocks. How's that for Stocks for the Long Run, Mr. Jeremy J. Siegel!

The shape of the curve is also quite strange. Normally you'd expect something like a U-shaped curve rotated 90 percent clockwise and funneling wide to the right. I'll have to check all of this at some point, because I find it hard to believe, but I think it's right.