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

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 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.


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.


Serial covariance

Serial covariance

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


Further Suggestions

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