Estimating the global Minimum Variance Portfolio
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.
Volume (Year): 58 (2006)
Issue (Month): 4 (October)
|Contact details of provider:|| Postal: |
Phone: 0049 89 2180 2166
Fax: 0049 89 2180 6327
Web page: http://www.sbr-online.com
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:sbr:abstra:v:58:y:2006:i:4:p:332-348. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (sbr)The email address of this maintainer does not seem to be valid anymore. Please ask sbr to update the entry or send us the correct address
If references are entirely missing, you can add them using this form.