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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 MatchesVarianceVarianceA 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. 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(xi-m(x))(yi-m(y)), where m(·) is the mean of the values in its argument. Mean variance analysisMean variance analysisEvaluation of risky prospects based on the expected value and variance of possible outcomes. 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. 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. Further SuggestionsPortfolio varianceSerial covariance Mean variance criterion Minimum variance portfolio variance Comvariance Covariance Variance minimization approach to tracking |
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