standard deviation
Overview page. Subjects: Science and Mathematics.
A measure of the dispersion of data in statistics. For a set of values a 1, a 2, a 3, … an , the mean m is given by (a 1 + anull...
standard deviation
in A Dictionary of Finance and Banking
January 2008; p ublished online January 2008 .
Reference Entry. Subjects: Financial Institutions and Services. 61 words.
A measure of the dispersion of statistical data. For a series of n values x 1, x 2,
standard deviation
in A Dictionary of Finance and Banking
January 2014; p ublished online May 2014 .
Reference Entry. Subjects: Financial Institutions and Services. 72 words.
A measure of the dispersion of statistical data. For a series of n values x 1, x 2,
standard deviation
in The Handbook of International Financial Terms
January 1997; p ublished online January 2005 .
Reference Entry. Subjects: Financial Institutions and Services. 124 words.
A measure of the dispersion of a distribution and therefore a useful measure of its risk. The square root
standard deviation
in A Dictionary of Finance and Banking
March 2018; p ublished online March 2018 .
Reference Entry. Subjects: Banking; Social Sciences; Economics. 74 words.
A measure of the dispersion of statistical data. For a series of n values x 1, x 2, x n...
standard deviation of returns
in The Handbook of International Financial Terms
January 1997; p ublished online January 2005 .
Reference Entry. Subjects: Financial Institutions and Services. 13 words.
A measure of a security's or a portfolio's volatility.
homoscedastic
in The Handbook of International Financial Terms
January 1997; p ublished online January 2005 .
Reference Entry. Subjects: Financial Institutions and Services. 12 words.
The property of having equal standard deviations or variances. See homogeneous.
historic volatility
Overview page. Subjects: Financial Institutions and Services.
The past value of the standard deviation of the price of, or return on, a financial obligation. See volatile.
expected volatility
in A Dictionary of Finance and Banking
January 2008; p ublished online January 2008 .
Reference Entry. Subjects: Financial Institutions and Services. 46 words.
An estimate of the future standard deviation of the value of a particular financial variable. It is important in the
historic volatility
in A Dictionary of Finance and Banking
January 2008; p ublished online January 2008 .
Reference Entry. Subjects: Financial Institutions and Services. 21 words.
The past value of the standard deviation of the price of, or return on, a financial obligation. See volatile.
implied volatility
in A Dictionary of Finance and Banking
January 2008; p ublished online January 2008 .
Reference Entry. Subjects: Financial Institutions and Services. 47 words.
The expected standard deviation in the price of the underlying in an options contract. It is calculated by using the
historic volatility
in A Dictionary of Finance and Banking
January 2014; p ublished online May 2014 .
Reference Entry. Subjects: Financial Institutions and Services. 21 words.
The past value of the *standard deviation of the price of, or return on, a financial obligation. See volatile
implied volatility
in A Dictionary of Finance and Banking
January 2014; p ublished online May 2014 .
Reference Entry. Subjects: Financial Institutions and Services. 48 words.
The expected *standard deviation in the price of the *underlying in an options contract. It is calculated by
expected volatility
in A Dictionary of Finance and Banking
January 2014; p ublished online May 2014 .
Reference Entry. Subjects: Financial Institutions and Services. 46 words.
An estimate of the future *standard deviation of the value of a particular financial variable. It is important in
standard error
in The Handbook of International Financial Terms
January 1997; p ublished online January 2005 .
Reference Entry. Subjects: Financial Institutions and Services. 24 words.
A statistical measure of the estimated ‘goodness of fit’ of the estimated standard deviation of a sample. See also least
sigma (σ)
in The Handbook of International Financial Terms
January 1997; p ublished online January 2005 .
Reference Entry. Subjects: Financial Institutions and Services. 120 words.
Symbol used in statistics to represent the number of the standard deviation or (sigma squared (σ2) the variance
mean deviation
Overview page. Subjects: Science and Mathematics — Financial Institutions and Services.
In statistics, the arithmetic mean of the deviations (all taken as positive numbers) of all the numbers in a set of numbers from their arithmetic mean. For example, the arithmetic mean of...
risk-neutral
Overview page. Subjects: Financial Institutions and Services.
Describing a risk preference in which the investor makes decisions on the average return on an investment and is not interested in the standard deviation of returns. Compare risk-averse;...
Markowitz model
Overview page. Subjects: Financial Institutions and Services.
A method of selecting the optimum investment portfolio, devised by H. M. Markowitz (1927– ) and for which he received the Nobel prize in Economics in 1990. It assumes that investors are...
Sharpe ratio
Overview page. Subjects: Financial Institutions and Services.
A risk-adjusted measure of the performance of a portfolio. It is calculated by deducting the risk-free rate of return from the portfolio return and dividing the result by the standard...
expected volatility
Overview page. Subjects: Financial Institutions and Services.
An estimate of the future standard deviation of the value of a particular financial variable. It is important in the valuation of options, since the higher the volatility of the security or...
