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Minimum-variance portfolio |
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Definition of Minimum-variance portfolioMinimum-variance portfolioThe portfolio of risky assets with lowest variance.
Related Terms:Active portfolio strategyA strategy that uses available information and forecasting techniques to seek a Complete portfolioThe entire portfolio, including risky and risk-free assets. CovarianceA statistical measure of the degree to which random variables move together. Dedicating a portfolioRelated: cash flow matching. 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. Hedged portfolioA portfolio consisting of the long position in the stock and the short position in the call 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 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 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 Mean-variance efficient portfolioRelated: Markowitz efficient portfolio Minimum price fluctuationSmallest increment of price movement possible in trading a given contract. Also Minimum purchasesFor mutual funds, the amount required to open a new account (minimum Initial Minimum-variance frontierGraph of the lowest possible portfolio variance that is attainable for a given Modern portfolio theoryPrinciples underlying the analysis and evaluation of rational portfolio choices Normal portfolioA customized benchmark that includes all the securities from which a manager normally Optimal portfolioAn efficient portfolio most preferred by an investor because its risk/reward characteristics Passive portfolio strategyA strategy that involves minimal expectational input, and instead relies on Passive portfolioA market index portfolio. PortfolioA collection of investments, real and/or financial. 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 opportunity setThe expected return/standard deviation pairs of all portfolios that can be Portfolio managementRelated: Investment management Portfolio managerRelated: Investment manager 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. Replicating portfolioA portfolio constructed to match an index or benchmark. 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 VarianceA measure of dispersion of a set of data points around their mean value. The mathematical Variance minimization approach to trackingAn approach to bond indexing that uses historical data to Variance ruleSpecifies the permitted minimum or maximum quantity of securities that can be delivered to Weighted average portfolio yieldThe weighted average of the yield of all the bonds in a portfolio. Well diversified portfolioA portfolio spread out over many securities in such a way that the weight in any Zero-beta portfolioA portfolio constructed to represent the risk-free asset, that is, having a beta of zero. Zero-investment portfolioA portfolio of zero net value established by buying and shorting component Variance analysisA method of budgetary control that compares actual performance against plan, investigates the causes of the variance and takes corrective action to ensure that targets are achieved. PortfolioA collection of securities and investments held by an investor Portfolio DiversificationSee diversification Portfolio WeightThe percentage of a total portfolio represented by a single specific VarianceThe weighted average of the squared deviations from the budget variancethe difference between total actual overhead controllable variancethe budget variance of the two variance approach to analyzing overhead variances fixed overhead spending variancethe difference between the total actual fixed overhead and budgeted fixed overhead; fixed overhead volume variancesee volume variance labor efficiency variancethe number of hours actually worked minus the standard hours allowed for the production 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 yield variance(standard mix X actual hours X standard rate) - (standard mix X standard hours X standard rate); material price variancetotal actual cost of material purchased material quantity variance(actual quantity X standard price) - (standard quantity allowed standard price); material mix variance(actual mix X actual quantity X standard price) - (standard mix X actual quantity X standardprice); material yield variance(standard mix X actual quantity X standard price) - (standard mix X standard quantity X standard price); noncontrollable variancethe fixed overhead volume variance; 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 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 difference between an actual and a standard or variance analysisthe process of categorizing the nature (favorable or unfavorable) of the differences between standard and actual costs and determining the reasons for those differences volume variancea fixed overhead variance that represents CovarianceA measure of the degree to which returns on two assets move in VarianceThe dispersion of a variable. The square of the standard deviation. Direct materials mix varianceThe variance between the budgeted and actual mixes of Labor efficiency varianceThe difference between the amount of time that was budgeted Labor rate varianceThe difference between the actual and standard direct labor rates Materials price varianceThe difference between the actual and budgeted cost to Materials quantity varianceThe difference between the actual and budgeted quantities Production yield varianceThe difference between the actual and budgeted proportions Selling price varianceThe difference between the actual and budgeted selling price for 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. varianceAverage value of squared deviations from mean. A measure of volatility. Minimum WageAn hourly wage rate set by the federal government below Minimum inventoryAn inventory itemâ€™s budgeted minimum inventory level. Market PortfolioThe total of all investment opportunities available to the investor. 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.
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