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

Variance minimization approach to tracking

Variance minimization approach to tracking

An approach to bond indexing that uses historical data to estimate the variance of the tracking error.


Variance

Variance

A measure of dispersion of a set of data points around their mean value. The mathematical expectation of the average squared deviations from the mean. The square root of the variance is the standard deviation.


Serial covariance

Serial covariance

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


Mean variance criterion

Mean variance criterion

The selection of portfolios based on the means and variances of their returns. The choice of the higher expected return portfolio for a given level of variance or the lower variance portfolio for a given expected return.


Portfolio variance

Portfolio variance

Weighted sum of the covariance and variances of the assets in a portfolio.


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