Performance of the global minimum variance portfolio : a study on correlation and volatility estimation.
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...
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| Main Authors: | , , |
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| 其他作者: | |
| 格式: | Final Year Project |
| 語言: | English |
| 出版: |
2012
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| 主題: | |
| 在線閱讀: | http://hdl.handle.net/10356/48159 |
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