Portfolio variance

Portfolio variance

Weighted sum of the covariance and variances of the assets in a portfolio.

Portfolio Variance

A measure of volatility in a portfolio. It is calculated by taking the variance and co-variance of each security in the portfolio and weighting them in proportion to that security's representation in the portfolio. It differs from a weighted average of the variances of the securities because it includes the co-variances.
References in periodicals archive ?
Following the mean-variance model [attributed to Markowitz (1959)], the optimal hedge ratio that maximises expected utility for infinite degree of risk aversion and also minimises portfolio variance, is: (5)
While conventional portfolio design often follows the Modern Portfolio Theory, which identifies optimal portfolios via minimization of the total portfolio variance, its patented technique designs portfolios are based on the minimization of portfolio complexity.
The change in portfolio variance is dependent on the size and value of the position holdings.
The second section analytically presents the three key concepts for tracking indices: tracking error variance, excess return, and portfolio variance.
Changes in the Components of the Industry Portfolio Variance
i], and decreasing in scaled portfolio variance (risk), [[sigma].
Portfolio variance depends on the variance of each asset and also the correlations among themselves.
To create the efficient frontier we specified a return and had solver minimize the portfolio variance by changing the weight invested in each stock.
77 as portfolio variance as compared to the plain variance of 132.
Portfolio Variance = [summation over n/i=1] [[sigma].
The optimal portfolio variance is then given by x*'[Sigma]x*.