Global minimum variance portfolio : an application to the Singapore stock market
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...
Saved in:
Main Authors: | , , , |
---|---|
Other Authors: | |
Format: | Final Year Project |
Language: | English |
Published: |
2013
|
Subjects: | |
Online Access: | http://hdl.handle.net/10356/51490 |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Institution: | Nanyang Technological University |
Language: | English |
Be the first to leave a comment!