Standard Error

The standard error that appears on the bottom of the Charts Worksheet is the standard deviation of the simulation error in calculating the corresponding optimal portfolio weight. This is sampling error, which is intrinsic to any simulation result. More simulations decrease standard error, generally by the square root of the number of simulations done. For example, increasing the number of simulations from 250 to 1000 should reduce the standard error of a typical asset weight by half.  Assets with high uncertainty, or that are highly correlated to other combinations for assets tend to have higher standard errors and converge to their final value more slowly. A moderate amount of standard error of portfolio weights is rarely a concern for the behavior of the optimal portfolio, but it might be useful to run enough simulations for a small standard error if replicating the optimal portfolio is a concern.  

During optimization, the NFA Optimizer Running Window displays the maximum standard error among all assets and all portfolios on the efficient frontier. This gives a good indication of the worst case simulation convergence for any asset. Optimization tolerance can also be used to bound the standard error of an optimal solution.