Mean-Variance Analysis

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Mean-variance analysis

Evaluation of risky prospects based on the expected value and variance of possible outcomes.

The process of portfolio selection that assumes that every rational investor, at a given level of risk, will accept only the largest expected return. More specifically, mean-variance analysis attempts to account for risk and expected return mathematically to help the investor find a portfolio with the maximum return for the minimum about of risk. A Markowitz efficient porfolio represents just that: the most expected return at a given amount of risk (sometimes excluding zero risk). Harry Markowitz first began developing this form of analysis in an article published in 1952 and received the Nobel prize for economics for his work in 1990. See also: Homogenous expectations assumption, Markowitz efficient set of portfolios.

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Black Litterman Model			Finally, as the mean-variance analysis we perform can calculate the whole variance-covariance matrices, value at risk calculations may be employed. Efficiently estimated mean and volatility characteristics for the ... by Solibakke, P.B. / International Journal of Business In addition, mean-variance analysis treats financial wealth in isolation from income. Strategic Asset Allocation: Portfolio Choice for Long-Term Investors by Campbell, John Y. / NBER Reporter It is important to note that risk as used here is not the same as that term has come to be defined in mean-variance analysis, nor is this approach intended to supplant mean-variance analysis. Evaluating future input assumption risk by Brown, Roger J. / Appraisal Journal			MBO MBS Clearing Corporation MBS depository MBS servicing MBSCC MC McCain-Feingold Act McCarran-Ferguson Act McClellan Oscillator McClellan Summation Index McCulloch v. Maryland MCF McFadden Act McMansion MD MDA MDL Me-Too Product Me-Too Response Meals and Entertainment Expense mean Mean of the sample Mean Return Mean reversion mean term Mean-Variance Analysis Mean-variance criterion Mean-variance efficient portfolio meander line Measurement Error Measurement Noise measurements measuring life Mecanisme d'assurance-depots Mecanismo do tipo Mechanical Investing mechanics' and materialmen's liens Medallion Signature Guarantee Medallion Stamp Program Media median median cut Median Market Cap Median Voter Mediano plazo mediation Mediatore Mediatore di titoli Mediazione Medicaid Medical Expenses			mean-spiritedly mean-spiritedly mean-spiritedness mean-spiritedness Mean-Square Auto-Correlation Mean-Square Average Mean-Square Cross-Correlation mean-square deviation Mean-square error Mean-square error Mean-Square Relative Displacement mean-square velocity Mean-Square Weight Enumerating Function mean-square-error criterion Mean-Squared Amplitude-Estimation Error Mean-Squared Channel-Estimation Error Mean-Squared Weight Error Mean-Squared Weighted Inner Product Mean-Subtracted Lowest Frequency Sub-Band mean-tempered Mean-Time Clock mean-time screw Mean-Time-Between-Critical-Failures, Hardware mean-tone scale mean-tone tuning Mean-value theorem mean-value theorems Mean-Variance Analysis Mean-variance criterion Mean-Variance Efficient Frontier Mean-variance efficient portfolio Mean-Variance Optimization Mean-Variance Portfolio Meana-Baba meander meander meander Meander (geography) Meander (geography) Meander (geography) meander bar meander belt meander core meander line meander niche meander plain Meander Resource Management Group meander scar meander spur Meander-Line Loaded Antenna Meander-Sleeve Antenna meandered meandered meandered meanderer meanderer meanderer meandering

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