Financial Terms | |
Mean-variance efficient portfolio |
Information about financial, finance, business, accounting, payroll, inventory, investment, money, inventory control, stock trading, financial advisor, tax advisor, credit.
Main Page: inventory control, tax advisor, investment, inventory, money, finance, financial, credit, |
Definition of Mean-variance efficient portfolioMean-variance efficient portfolioRelated: Markowitz efficient portfolio
Related Terms:Active portfolio strategyA strategy that uses available information and forecasting techniques to seek a Arithmetic average (mean) rate of returnArithmetic mean return. Arithmetic mean returnAn average of the subperiod returns, calculated by summing the subperiod returns Beta coefficientA measurement of the extent to which the returns on a given stock move with stock market. budget variancethe difference between total actual overhead coefficient of correlationa measure of dispersion that indicates the degree of relative association existing between two variables Coefficient of determinationA measure of the goodness of fit of the relationship between the dependent and coefficient of determinationa measure of dispersion that coefficient of variationa measure of risk used when the standard deviations for multiple projects are approximately Complete portfolioThe entire portfolio, including risky and risk-free assets. controllable variancethe budget variance of the two variance approach to analyzing overhead variances Correlation coefficientA standardized statistical measure of the dependence of two random variables, Correlation CoefficientA measure of the tendency of two variables to change values Correlation coefficientA statistic in which the covariance is scaled to a CovarianceA statistical measure of the degree to which random variables move together. CovarianceA measure of the degree to which returns on two assets move in Dedicating a portfolioRelated: cash flow matching. Direct materials mix varianceThe variance between the budgeted and actual mixes of Efficient capital marketA market in which new information is very quickly reflected accurately in share efficient capital marketsFinancial markets in which security prices rapidly reflect all relevant information about asset values. Efficient diversificationThe organizing principle of modern portfolio theory, which maintains that any riskaverse Efficient frontierThe combinations of securities portfolios that maximize expected return for any level of Efficient frontierA graph representing a set of portfolios that maximizes Efficient Market HypothesisIn general the hypothesis states that all relevant information is fully and Efficient Markets HypothesisThe 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. Efficient portfolioA portfolio that provides the greatest expected return for a given level of risk (i.e. standard Excess return on the market portfolioThe difference between the return on the market portfolio and the Factor portfolioA well-diversified portfolio constructed to have a beta of 1.0 on one factor and a beta of Feasible portfolioA portfolio that an investor can construct given the assets available. Feasible set of portfoliosThe collection of all feasible portfolios. fixed overhead spending variancethe difference between the total actual fixed overhead and budgeted fixed overhead; fixed overhead volume variancesee volume variance Geometric mean returnAlso called the time weighted rate of return, a measure of the compounded rate of Hedged portfolioA 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 input-output coefficienta number (prefaced as a multiplier Internally efficient marketOperationally efficient market. labor efficiency variancethe number of hours actually worked minus the standard hours allowed for the production Labor efficiency varianceThe 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 variancethe 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 varianceThe 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); Leveraged portfolioA portfolio that includes risky assets purchased with funds borrowed. Leveraged portfolioA portfolio that includes risky assets purchased with funds borrowed. Market portfolioA portfolio consisting of all assets available to investors, with each asset held -in market portfolioportfolio 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. Market PortfolioThe total of all investment opportunities available to the investor. Markowitz efficient frontierThe graphical depiction of the Markowitz efficient set of portfolios Markowitz efficient portfolioAlso called a mean-variance efficient portfolio, a portfolio that has the highest Markowitz efficient set of portfoliosThe 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 variancetotal 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 varianceThe difference between the actual and budgeted cost to Materials quantity varianceThe difference between the actual and budgeted quantities MeanThe expected value of a random variable. Mean a. A number that typifies a set of numbers, such as a geometric mean Mean of the sampleThe arithmetic average; that is, the sum of the observations divided by the number of Mean-variance analysisEvaluation of risky prospects based on the expected value and variance of possible outcomes. Mean-variance criterionThe selection of portfolios based on the means and variances of their returns. The Minimum-variance frontierGraph of the lowest possible portfolio variance that is attainable for a given Minimum-variance portfolioThe portfolio of risky assets with lowest variance. Modern portfolio theoryPrinciples underlying the analysis and evaluation of rational portfolio choices noncontrollable variancethe fixed overhead volume variance; Normal portfolioA customized benchmark that includes all the securities from which a manager normally Operationally efficient marketAlso called an internally efficient market, one in which investors can obtain Optimal portfolioAn efficient portfolio most preferred by an investor because its risk/reward characteristics overhead efficiency variancethe difference between total budgeted overhead at actual hours and total budgeted overhead spending variancethe difference between total actual overhead and total budgeted overhead at actual Passive portfolioA market index portfolio. Passive portfolio strategyA strategy that involves minimal expectational input, and instead relies on PortfolioA collection of investments, real and/or financial. PortfolioA collection of securities and investments held by an investor Portfolio DiversificationSee diversification Portfolio insuranceA strategy using a leveraged portfolio in the underlying stock to create a synthetic put Portfolio internal rate of returnThe rate of return computed by first determining the cash flows for all the Portfolio managementRelated: Investment management Portfolio managerRelated: Investment manager Portfolio opportunity setThe expected return/standard deviation pairs of all portfolios that can be Portfolio separation theoremAn investor's choice of a risky investment portfolio is separate from his Portfolio turnover rateFor an investment company, an annualized rate found by dividing the lesser of Portfolio varianceWeighted sum of the covariance and variances of the assets in a portfolio. Portfolio WeightThe percentage of a total portfolio represented by a single specific Production yield varianceThe difference between the actual and budgeted proportions Regression toward the meanThe tendency for subsequent observations of a random variable to be closer to its mean. Replicating portfolioA portfolio constructed to match an index or benchmark. Selling price varianceThe difference between the actual and budgeted selling price for Serial covarianceThe covariance between a variable and the lagged value of the variable; the same as Structured portfolio strategyA strategy in which a portfolio is designed to achieve the performance of some Tilted portfolioAn indexing strategy that is linked to active management through the emphasis of a total overhead variancethe difference between total actual overhead and total applied overhead; it is the amount of underapplied or overapplied overhead total variancethe difference between total actual cost incurred variable overhead efficiency variancethe difference between budgeted variable overhead based on actual input activity and variable overhead applied to production variable overhead spending variancethe difference between total actual variable overhead and the budgeted amount of variable overhead based on actual input activity VarianceA measure of dispersion of a set of data points around their mean value. The mathematical VarianceThe weighted average of the squared deviations from the
Related to : financial, finance, business, accounting, payroll, inventory, investment, money, inventory control, stock trading, financial advisor, tax advisor, credit. |