Estimating the Global Minimum Variance Portfolio

Schmalenbach Business Review - Tập 58 - Trang 332-348 - 2017
Alexander Kempf1, Christoph Memmel1
1Department of Finance, and Centre for Financial Research Cologne (CFR), University of Cologne, Cologne, Germany

Tóm tắt

According to standard portfolio theory, the tangency portfolio is the only efficient stock portfolio. However, empirical studies show that an investment in the global minimum variance portfolio often yields better out-of-sample results than does an investment in the tangency portfolio and suggest investing in the global minimum variance portfolio. But little is known about the distributions of the weights and return parameters of this portfolio. Our contribution is to determine these distributions. By doing so, we answer several important questions in asset management.

Tài liệu tham khảo

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