A New Empirical Perspective on the Minimum Variance Portfolio

22 Pages Posted: 7 Mar 2019

See all articles by Hussein Abdoh

Hussein Abdoh

Assistant professor of Finance

Date Written: February 17, 2019

Abstract

This study examines the market level determinants of the portfolio construction process behind minimum variance investing. I show that the minimum variance portfolio (MVP) weight composition will be similar to that of equally weighted portfolio (1/N portfolio) if the ratio of idiosyncratic volatility relative to total return volatility is high and the number of securities in the portfolio is large.

Keywords: Minimum Variance Portfolio (MVP); 1/N Portfolio; Return Volatility

JEL Classification: G11

Suggested Citation

Abdoh, Hussein, A New Empirical Perspective on the Minimum Variance Portfolio (February 17, 2019). Available at SSRN: https://ssrn.com/abstract=3336044 or http://dx.doi.org/10.2139/ssrn.3336044

Hussein Abdoh (Contact Author)

Assistant professor of Finance ( email )

South Carolina
Charleston, SC 29409
United States

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