Performance of global minimum variance portfolio.

• Main Authors: Chow, Ming Jie., Quek, Zhu En., Yeo, Alan Wei Tat.
• Other Authors: Charlie Charoenwong
• Format: Final Year Project
• Language: English
• Published: 2009
• Subjects: DRNTU::Business::Finance::Portfolio management
• Online Access: http://hdl.handle.net/10356/15102
• Institution: Nanyang Technological University

This research uses four different methods of variance-covariance estimation namely Traditional, Traditional (Constraints), Zero Correlation and Constant Correlation to construct the Global Minimum Variance Portfolio (GMVP). The portfolios generated are subjected to Monthly, Quarterly, Semi-Annual an...