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

• المؤلفون الرئيسيون: Tan, Wei Hao., Goh, Siew Min., Ong, Kevin Kang Ming.
• مؤلفون آخرون: Charlie Charoenwong
• التنسيق: Final Year Project
• اللغة: English
• منشور في: 2012
• الموضوعات: DRNTU::Business::Finance::Portfolio management
• الوصول للمادة أونلاين: http://hdl.handle.net/10356/48159

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...