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Variance |
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VarianceA 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.VarianceThe difference between budgeted and actual costs.VarianceA 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.Variance Similar MatchesPortfolio variancePortfolio varianceWeighted sum of the covariance and variances of the assets in a portfolio. Minimum variance frontierMinimum variance frontierGraph of the lowest possible portfolio variance that is attainable for a given portfolio expected return. 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. Serial covarianceSerial covarianceThe covariance between a variable and the lagged value of the variable; the same as autocorrelation. 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 SuggestionsVariance ruleVariance minimization approach to tracking Mean variance criterion Mean variance analysis Covariance Minimum variance portfolio |
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