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

Variance

The difference between budgeted and actual costs.


Portfolio variance

Portfolio variance

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


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.


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

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.


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