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. CovarianceCovarianceA statistical measure of the degree to which random variables move together. A positive covariance implies that one variable is above (below) its mean value when the other variable is above (below) its mean value. 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. 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(xim(x))(yim(y))(zim(z)), where m(·) is the mean of the values in its argument. Due to Deardorff (1982). 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 passthrough securities, the accepted variance is plus or minus 2.499999 % per million of the par value of the TBA quantity. Further SuggestionsMean variance criterionPortfolio variance Minimum variance portfolio Variance Covariance variance Serial covariance Variance 
