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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 criterionMean variance criterionThe selection of portfolios based on the means and variances of their returns. The choice of the higher expected return portfolio for a given level of variance or the lower variance portfolio for a given expected return. Variance minimization approach to trackingVariance minimization approach to trackingAn approach to bond indexing that uses historical data to estimate the variance of the tracking error. Serial covarianceSerial covarianceThe covariance between a variable and the lagged value of the variable; the same as autocorrelation. Minimum variance portfolioMinimum variance portfolioThe portfolio of risky assets with lowest variance. 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. Further SuggestionsVariance ruleVariance Comvariance Portfolio variance Covariance variance Mean variance analysis Variance |
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