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

Mean variance analysis

Mean variance analysis

Evaluation of risky prospects based on the expected value and variance of possible outcomes.


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.


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.


Comvariance

Comvariance

An analogue to covariance for three variables. For three variables x, y, and z with values xi, yi, zi, i=1,…,n, the comvariance is com(x,y,z) = Si=1…n(xi-m(x))(yi-m(y))(zi-m(z)), where m(·) is the mean of the values in its argument. Due to Deardorff (1982).


Further Suggestions

Serial covariance
Variance minimization approach to tracking
Variance
Mean variance criterion
Minimum variance portfolio
Covariance
Covariance
Portfolio variance


 
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