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.


Comvariance

Comvariance

An 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(xi-m(x))(yi-m(y))(zi-m(z)), where m(·) is the mean of the values in its argument. Due to Deardorff (1982).


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.


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Mean variance criterion
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Covariance
Minimum variance portfolio
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