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

• المؤلفون الرئيسيون: Lim, Ching Jie, Walker, Cheryl Chia, Cheng, Paul Shin Wee, Ng, Nicolson Bowen
• مؤلفون آخرون: Charlie Charoenwong
• التنسيق: Final Year Project
• اللغة: English
• منشور في: 2013
• الموضوعات: DRNTU::Business
• الوصول للمادة أونلاين: http://hdl.handle.net/10356/51490

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...