|Mean-variance efficient portfolio|
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Definition of Mean-variance efficient portfolio
Mean-variance efficient portfolio
Related: Markowitz efficient portfolio
A strategy that uses available information and forecasting techniques to seek a
Arithmetic mean return.
An average of the subperiod returns, calculated by summing the subperiod returns
A measurement of the extent to which the returns on a given stock move with stock market.
the difference between total actual overhead
a measure of dispersion that indicates the degree of relative association existing between two variables
A measure of the goodness of fit of the relationship between the dependent and
a measure of dispersion that
a measure of risk used when the standard deviations for multiple projects are approximately
The entire portfolio, including risky and risk-free assets.
the budget variance of the two variance approach to analyzing overhead variances
A standardized statistical measure of the dependence of two random variables,
A measure of the tendency of two variables to change values
A statistic in which the covariance is scaled to a
A statistical measure of the degree to which random variables move together.
A measure of the degree to which returns on two assets move in
Dedicating a portfolio
Related: cash flow matching.
Direct materials mix variance
The variance between the budgeted and actual mixes of
Efficient capital market
A market in which new information is very quickly reflected accurately in share
efficient capital markets
Financial markets in which security prices rapidly reflect all relevant information about asset values.
The organizing principle of modern portfolio theory, which maintains that any riskaverse
The combinations of securities portfolios that maximize expected return for any level of
A graph representing a set of portfolios that maximizes
Efficient Market Hypothesis
In general the hypothesis states that all relevant information is fully and
Efficient Markets Hypothesis
The hypothesis that securities are typically in equilibrium--that they are fairly priced in the sense that the price reflects all publicly available information on the security.
A portfolio that provides the greatest expected return for a given level of risk (i.e. standard
Excess return on the market portfolio
The difference between the return on the market portfolio and the
A well-diversified portfolio constructed to have a beta of 1.0 on one factor and a beta of
A portfolio that an investor can construct given the assets available.
Feasible set of portfolios
The collection of all feasible portfolios.
fixed overhead spending variance
the difference between the total actual fixed overhead and budgeted fixed overhead;
fixed overhead volume variance
see volume variance
Geometric mean return
Also called the time weighted rate of return, a measure of the compounded rate of
A portfolio consisting of the long position in the stock and the short position in the call
Index Portfolio Rebalancing Service (IPRS)
Index portfolio Rebalancing Service (IPRS) is a comprehensive investment service that can help increase potential returns while reducing volatility. Several portfolios are available, each with its own strategic balance of Index Funds. IPRS maintains your personal asset allocation by monitoring and rebalancing your portfolio semi-annually.
Information Coefficient (IC)
The correlation between predicted and actual stock returns, sometimes used to
a number (prefaced as a multiplier
Internally efficient market
Operationally efficient market.
labor efficiency variance
the number of hours actually worked minus the standard hours allowed for the production
Labor efficiency variance
The difference between the amount of time that was budgeted
labor mix variance
(actual mix X actual hours X standard rate) - (standard mix X actual hours X standard rate);
labor rate variance
the actual rate (or actual weighted average rate) paid to labor for the period minus the standard rate multiplied by all hours actually worked during the period;
Labor rate variance
The difference between the actual and standard direct labor rates
labor yield variance
(standard mix X actual hours X standard rate) - (standard mix X standard hours X standard rate);
A portfolio that includes risky assets purchased with funds borrowed.
A portfolio that includes risky assets purchased with funds borrowed.
A portfolio consisting of all assets available to investors, with each asset held -in
portfolio of all assets in the economy. In practice a broad stock market index, such as the Standard & Poor's Composite, is used to represent the market.
The total of all investment opportunities available to the investor.
Markowitz efficient frontier
The graphical depiction of the Markowitz efficient set of portfolios
Markowitz efficient portfolio
Also called a mean-variance efficient portfolio, a portfolio that has the highest
Markowitz efficient set of portfolios
The collection of all efficient portfolios, graphically referred to as the
material mix variance
(actual mix X actual quantity X standard price) - (standard mix X actual quantity X standardprice);
material price variance
total actual cost of material purchased
material quantity variance
(actual quantity X standard price) - (standard quantity allowed standard price);
material yield variance
(standard mix X actual quantity X standard price) - (standard mix X standard quantity X standard price);
Materials price variance
The difference between the actual and budgeted cost to
Materials quantity variance
The difference between the actual and budgeted quantities
The expected value of a random variable.
a. A number that typifies a set of numbers, such as a geometric mean
Mean of the sample
The arithmetic average; that is, the sum of the observations divided by the number of
Evaluation of risky prospects based on the expected value and variance of possible outcomes.
The selection of portfolios based on the means and variances of their returns. The
Graph of the lowest possible portfolio variance that is attainable for a given
The portfolio of risky assets with lowest variance.
Modern portfolio theory
Principles underlying the analysis and evaluation of rational portfolio choices
the fixed overhead volume variance;
A customized benchmark that includes all the securities from which a manager normally
Operationally efficient market
Also called an internally efficient market, one in which investors can obtain
An efficient portfolio most preferred by an investor because its risk/reward characteristics
overhead efficiency variance
the difference between total budgeted overhead at actual hours and total budgeted
overhead spending variance
the difference between total actual overhead and total budgeted overhead at actual
A market index portfolio.
Passive portfolio strategy
A strategy that involves minimal expectational input, and instead relies on
A collection of investments, real and/or financial.
A collection of securities and investments held by an investor
A strategy using a leveraged portfolio in the underlying stock to create a synthetic put
Portfolio internal rate of return
The rate of return computed by first determining the cash flows for all the
Related: Investment management
Related: Investment manager
Portfolio opportunity set
The expected return/standard deviation pairs of all portfolios that can be
Portfolio separation theorem
An investor's choice of a risky investment portfolio is separate from his
Portfolio turnover rate
For an investment company, an annualized rate found by dividing the lesser of
Weighted sum of the covariance and variances of the assets in a portfolio.
The percentage of a total portfolio represented by a single specific
Production yield variance
The difference between the actual and budgeted proportions
Regression toward the mean
The tendency for subsequent observations of a random variable to be closer to its mean.
A portfolio constructed to match an index or benchmark.
Selling price variance
The difference between the actual and budgeted selling price for
The covariance between a variable and the lagged value of the variable; the same as
Structured portfolio strategy
A strategy in which a portfolio is designed to achieve the performance of some
An indexing strategy that is linked to active management through the emphasis of a
total overhead variance
the difference between total actual overhead and total applied overhead; it is the amount of underapplied or overapplied overhead
the difference between total actual cost incurred
variable overhead efficiency variance
the difference between budgeted variable overhead based on actual input activity and variable overhead applied to production
variable overhead spending variance
the difference between total actual variable overhead and the budgeted amount of variable overhead based on actual input activity
A measure of dispersion of a set of data points around their mean value. The mathematical
The weighted average of the squared deviations from the
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