Reviewed by Khadija Khartit Fact checked by Vikki Velasquez Volatility is the core measure of financial risk, but not all ...

The Journal of Finance, Vol. 41, No. 5 (Dec., 1986), pp. 1051-1068 (18 pages) Duality theory is employed to provide necessary and sufficient conditions for portfolios on the minimum-variance frontier ...

We consider weighted variance contracts in which the realized variance is subjected to a spot-dependent weighting function, a notable example of which is the corridor variance swap. Such payouts admit ...

(a) in the limit of low uncertainty in estimated asset mean returns, the robust portfolio converges toward the mean-variance portfolio obtained with the same inputs, and (b) in the limit of high ...

Expected value calculates average future investment returns based on outcome probabilities. In finance, expected value guides portfolio construction and when to sell assets with lower future value.