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

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).


Mean variance criterion

Mean variance criterion

The 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

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.


Mean variance analysis

Mean variance analysis

Evaluation of risky prospects based on the expected value and variance of possible outcomes.


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