Global minimum variance portfolio : an application to the Singapore stock market

• Main Authors: Lim, Ching Jie, Walker, Cheryl Chia, Cheng, Paul Shin Wee, Ng, Nicolson Bowen
• 其他作者: Charlie Charoenwong
• 格式: Final Year Project
• 語言: English
• 出版: 2013
• 主題: DRNTU::Business
• 在線閱讀: http://hdl.handle.net/10356/51490
• 機構: Nanyang Technological University

This paper studies the performance of the Global Minimum Variance Portfolio (GMV Portfolio) constructed using three different models of estimating the covariance matrix; the Historical Model, Constant Correlation Model and Market Model. Unlike other studies that do not explore the effects of optimal...