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 MatchesCovarianceCovarianceA 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. 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(xim(x))(yim(y)), where m(·) is the mean of the values in its argument. Serial covarianceSerial covarianceThe covariance between a variable and the lagged value of the variable; the same as autocorrelation. 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 passthrough securities, the accepted variance is plus or minus 2.499999 % per million of the par value of the TBA quantity. 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(xim(x))(yim(y))(zim(z)), where m(·) is the mean of the values in its argument. Due to Deardorff (1982). Further SuggestionsVarianceVariance Variance minimization approach to tracking variance Mean variance criterion Portfolio variance Minimum variance portfolio Mean variance analysis 
