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

A 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.


Variance

Variance

The difference between budgeted and actual costs.


Variance rule

Variance rule

Specifies 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.


Portfolio variance

Portfolio variance

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


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.


Further Suggestions

Comvariance
Serial covariance
Mean variance analysis
Covariance
Covariance
Mean variance criterion
Variance minimization approach to tracking
Minimum variance portfolio


 
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