Minimum variance frontier


 

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Minimum variance frontier

Graph of the lowest possible portfolio variance that is attainable for a given portfolio expected return.



Minimum variance frontier

Similar Matches

Variance

Variance

A measure of how much an economic or statistical variable varies across values or observations. Its calculation is the same as that of the covariance, being the covariance of the variable with itself.


Mean variance criterion

Mean variance criterion

The selection of portfolios based on the means and variances of their returns. The choice of the higher expected return portfolio for a given level of variance or the lower variance portfolio for a given expected return.


Minimum variance portfolio

Minimum variance portfolio

The portfolio of risky assets with lowest variance.


Covariance

Covariance

A 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 minimization approach to tracking

Variance minimization approach to tracking

An approach to bond indexing that uses historical data to estimate the variance of the tracking error.


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