IDEAS home Printed from https://ideas.repec.org/h/spr/prbchp/978-3-319-70055-7_5.html
   My bibliography  Save this book chapter

A Mean-Variance Analysis of the Global Minimum Variance Portfolio Constructed Using the CARBS Indices

In: Advances in Panel Data Analysis in Applied Economic Research

Author

Listed:
  • Coenraad C. A. Labuschagne

    (University of Johannesburg)

  • Niel Oberholzer

    (University of Johannesburg)

  • Pierre J. Venter

    (University of Johannesburg)

Abstract

The purpose of this paper is to construct a global minimum variance portfolio (GMVP) using the log returns of the CARBS (Canada, Australia, Russia, Brazil, South Africa) indices. The weights obtained indicate that most of the portfolio should be invested in Canadian equity. The returns series of the CARBS and the GMVP seem to be consistent with the stylized facts of financial time series. Further empirical analysis shows that the CAPM relationship holds for Canada, South Africa, and the GMVP. The systematic risk (β) of the GMVP is the lowest, and the Russian equity index is the highest. However the R2 of all the models indicate that the CAPM relationship is not a good fit for all the variables and can therefore not be considered a reliable measure of risk.

Suggested Citation

  • Coenraad C. A. Labuschagne & Niel Oberholzer & Pierre J. Venter, 2018. "A Mean-Variance Analysis of the Global Minimum Variance Portfolio Constructed Using the CARBS Indices," Springer Proceedings in Business and Economics, in: Nicholas Tsounis & Aspasia Vlachvei (ed.), Advances in Panel Data Analysis in Applied Economic Research, chapter 0, pages 55-68, Springer.
    • Handle: RePEc:spr:prbchp:978-3-319-70055-7_5
    DOI: 10.1007/978-3-319-70055-7_5
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:prbchp:978-3-319-70055-7_5. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.