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

Minimum variance portfolio

Minimum variance portfolio

The portfolio of risky assets with lowest variance.


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.


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.


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).


Portfolio variance

Portfolio variance

Weighted sum of the covariance and variances of the assets in a portfolio.


Further Suggestions

Mean variance criterion
Serial covariance
variance
Covariance
Variance
Mean variance analysis
Variance minimization approach to tracking
Variance


 
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