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Mean variance analysis |
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Mean variance analysisEvaluation of risky prospects based on the expected value and variance of possible outcomes.Mean variance analysis Similar MatchesMinimum variance portfolioMinimum variance portfolioThe portfolio of risky assets with lowest variance. CovarianceCovarianceA measure of the extent to which two economic or statistical variables move up and down together. For two variables x and y with values xi, yi, i=1,…,n, the covariance is cov(x,y) = Si=1…n(xi-m(x))(yi-m(y)), where m(·) is the mean of the values in its argument. Variance ruleVariance ruleSpecifies the permitted minimum or maximum quantity of securities that can be delivered to satisfy a TBA trade. For Ginnie Mae, Fannie Mae, and Freddie Mac pass-through securities, the accepted variance is plus or minus 2.499999 % per million of the par value of the TBA quantity. Serial covarianceSerial covarianceThe covariance between a variable and the lagged value of the variable; the same as autocorrelation. CovarianceCovarianceA statistical measure of the degree to which random variables move together. A positive covariance implies that one variable is above (below) its mean value when the other variable is above (below) its mean value. Further SuggestionsVariancevariance Variance Portfolio variance Comvariance Mean variance criterion Variance minimization approach to tracking Minimum variance frontier |
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