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Minimum variance frontier |
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Minimum variance frontierGraph of the lowest possible portfolio variance that is attainable for a given portfolio expected return.Minimum variance frontier Similar MatchesSerial covarianceSerial covarianceThe covariance between a variable and the lagged value of the variable; the same as autocorrelation. 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. Mean variance analysisMean variance analysisEvaluation of risky prospects based on the expected value and variance of possible outcomes. Variance minimization approach to trackingVariance minimization approach to trackingAn approach to bond indexing that uses historical data to estimate the variance of the tracking error. 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. Further SuggestionsVarianceVariance Mean variance criterion Covariance Portfolio variance Comvariance Minimum variance portfolio variance |
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