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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 MatchesMean variance analysisMean variance analysisEvaluation of risky prospects based on the expected value and variance of possible outcomes. 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. VarianceVarianceThe difference between budgeted and actual costs. 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. ComvarianceComvarianceAn 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). Further SuggestionsSerial covarianceVariance minimization approach to tracking Variance Mean variance criterion Minimum variance portfolio Covariance Covariance Portfolio variance |
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