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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 MatchesMinimum variance portfolioMinimum variance portfolioThe portfolio of risky assets with lowest variance. 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. CovarianceCovarianceA 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. ComvarianceComvarianceAn 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 variancePortfolio varianceWeighted sum of the covariance and variances of the assets in a portfolio. Further SuggestionsMean variance criterionSerial covariance variance Covariance Variance Mean variance analysis Variance minimization approach to tracking Variance |
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