Performance of the global minimum variance portfolio : a study on correlation and volatility estimation.

• Main Authors: Tan, Wei Hao., Goh, Siew Min., Ong, Kevin Kang Ming.
• Other Authors: Charlie Charoenwong
• Format: Final Year Project
• Language: English
• Published: 2012
• Subjects: DRNTU::Business::Finance::Portfolio management
• Online Access: http://hdl.handle.net/10356/48159
• Institution: Nanyang Technological University

This paper studies the returns of efficient portfolios based on different estimations of the covariance matrix. More specifically we derive the Global Minimum Variance Portfolio (GMVP) weights, using different estimation methodologies to derive the covariance matrix. The out-of-sample perform...