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ArticleA note on the returns from minimum variance investing

Bernd Scherer2011

Article2011

A note on the returns from minimum variance investing

120 citations·0/0 files stored·Journal of Empirical Finance

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Risk and Portfolio Optimization

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References

1992The Cross-Section of Expected Stock Returns 1973Risk, Return, and Equilibrium: Empirical Tests 2006The Cross‐Section of Volatility and Expected Returns 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?1972The capital asset pricing model: Some empirical tests 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps 1989Testing for the Constancy of Parameters Over Time 2008Robust performance hypothesis testing with the Sharpe ratio

Cited by

2013Risk Parity, Maximum Diversification,and Minimum Variance: An Analytic Perspective 2012Demystifying Equity Risk–Based Strategies: A Simple Alpha plus Beta Description 2012Will My Risk Parity Strategy Outperform?2013Low-Risk Investing Without Industry Bets 2010Estimating Security Betas Using Prior Information Based on Firm Fundamentals 2012Diversified Risk Parity Strategies for Equity Portfolio Selection

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Year2011

Typearticle

Published2011-07-05

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations120

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jempfin.2011.06.001

openalex_workW2011747727

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2019The Volatility Effect Revisited

2012Choose Your Betas: Benchmarking AlternativeEquity Index Strategies