Markowitz efficient frontier
The graphical depiction of the Markowitz efficient set of portfolios representing the boundary of the set of feasible portfolios that have the maximum return for a given level of risk. Any portfolios above the frontier cannot be achieved. Any below the frontier are dominated by Markowitz efficient portfolios. |
Similar financial terms
Markowitz efficient set of portfoliosThe collection of all efficient portfolios, graphically referred to as the Markowitz efficient frontier.
Markowitz efficient portfolio
Also called a mean-variance efficient portfolio, a portfolio that has the highest expected return at a given level of risk.
Markowitz diversification
A strategy that seeks to combine assets a portfolio with returns that are less than perfectly positively correlated, in an effort to lower portfolio risk (variance) without sacrificing return.
Efficient portfolio
A portfolio that provides the superior expected return for a given level of risk
Efficient market
A theory about the stock market stating that the current prices of stocks reflect all that is known about the company at that moment, and that new information is reflected immediately in changes to that stock's market price.
Operationally efficient market
Also called an internally efficient market, one in which investors can obtain transactions services that reflect the true costs associated with furnishing those services.
Coefficient of determination
A measure of the goodness of fit of the relationship between the dependent and independent variables in a regression analysis; for instance, the percentage of variation in the return of an asset explained by the market portfolio return.
Correlation coefficient
A standardized statistical measure of the dependence of two random variables, defined as the covariance divided by the standard deviations of two variables.
Gini coefficients
The ratio between the area between a Lorenz curve and the 45o line and the area below the 45o line. The Gini coefficient is a precise way of measuring the position of the Lorenz Curve. To work out the Gini coefficient we measure the ratio of the area between the Lorenz Curve and the 45 degree line to the whole area below the 45 degree line. If the Lorenz Curve was the 45 degree line - then the value of the Gini Coefficient would be zero, but as the level of inequality grows so does the Gini Coef ...
Efficient Market
A market in which new information is immediately available to all investors and potential investors. A market in which all information is instantaneously assimilated and therefore has no distortions.
Minimum-variance frontier
Graph of the lowest possible portfolio variance that is attainable for a given portfolio expected return.
