Understanding the outperformance of the minimum variance portfolio
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DOI: 10.1016/j.frl.2017.09.005
Abstract: Minimum variance portfolio (MVP) seems to outperform the mean-variance optimized portfolio on a risk-adjusted basis. Scherer (2011) conjectures that the MVP tilts toward low beta and low idiosyncratic risk assets. Consequently, the MVP capitalizes on… read more here.
Keywords: yanushevsky; variance portfolio; portfolio; variance ... See more keywords