|
|
Minimum variance frontier |
|
|
|
 Home Site Map Add Term Search About Us Contributors |
Minimum variance frontierGraph of the lowest possible portfolio variance that is attainable for a given portfolio expected return.Minimum variance frontier Similar MatchesPortfolio variancePortfolio varianceWeighted sum of the covariance and variances of the assets in a portfolio. Minimum variance portfolioMinimum variance portfolioThe portfolio of risky assets with lowest variance. 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. VarianceVarianceA 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 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 SuggestionsvarianceComvariance Variance minimization approach to tracking Mean variance criterion Mean variance analysis Variance Covariance Serial covariance |
|
|
|