Minimum variance frontier

 

Home
Site Map
Add Term
Search
About Us
Contributors

Minimum variance frontier

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



Minimum variance frontier

Similar Matches

Serial covariance

Serial covariance

The covariance between a variable and the lagged value of the variable; the same as autocorrelation.


Covariance

Covariance

A 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.


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.


Variance

Variance

The difference between budgeted and actual costs.


Variance rule

Variance rule

Specifies 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.


Further Suggestions

Portfolio variance
Variance minimization approach to tracking
Variance
Variance
Minimum variance portfolio
Covariance
Comvariance
Mean variance analysis


 
All rights Reserved. Do not copy without permission.