Here's a game.
It looks like this:

Click on the picture to download the spreadsheet.
The Efficient Frontier depends upon the Mean and Standard Deviation of our portfolio assets.
These are calculated from downloaded data according to the mathematical ritual described here.

>What? How do I play? There must be rules and ...?

Yes, the rules look like so:

>So I click those up and down buttons to put my portfolio on the Efficient Frontier?
Yes, someplace good ... and what's "good" is up to you.  
Maybe you want small volatility and you're willing to sacrifice returns or maybe ...
>Forget volatility! I want BIG returns !!
Then go for it!
>What's that CAGR stuff?
Oh ... almost forgot. CAGR = (Mean Return) - (1/2)(Standard Deviation)² is a reasonable approximation for the Compound Annual Growth Rate.
Note that the Frontier is shifted left by an amount (1/2)(Standard Deviation)² which increases as (Standard Deviation) increases.
>And when I get on the Frontier ... what then?
Click for Another Game.
>And where do I get the numbers from?
You can pick three assets and download them ... so long as Yahoo has 10 years worth of monthly prices.  
>And when I get tired of the game?
Relax. Have a beer.