Estimating the Global Minimum Variance Portfolio
University of Cologne - Department of Finance & Centre for Financial Research (CFR)
Schmalenbach Business Review, Vol. 58, October 2006
According to standard portfolio theory, the tangency portfolio is the only efficient stock portfolio. However, empirical studies show that an investment in the global minimum variance portfolio often yields better out-of-sample results than does an investment in the tangency portfolio and suggest investing in the global minimum variance portfolio. But little is known about the distributions of the weights and return parameters of this portfolio. Our contribution is to determine these distributions. By doing so, we answer several important questions in asset management.
Number of Pages in PDF File: 18
Keywords: Estimation Risk, Global Minimum Variance Portfolio, Weight Estimation
JEL Classification: C22, G11Accepted Paper Series
Date posted: October 26, 2006
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo7 in 0.547 seconds