Variance


 

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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.

Variance

The difference between budgeted and actual costs.

Variance

A 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 Matches

Portfolio variance

Portfolio variance

Weighted sum of the covariance and variances of the assets in a portfolio.


Minimum variance frontier

Minimum variance frontier

Graph of the lowest possible portfolio variance that is attainable for a given portfolio expected return.


Covariance

Covariance

A 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 covariance

Serial covariance

The covariance between a variable and the lagged value of the variable; the same as autocorrelation.


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).


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