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ArticleMinimum-Variance Portfolio Composition

Roger Clarke2010

Article2010

Minimum-Variance Portfolio Composition

Roger Clarke · Harindra de Silva · Steven R. Thorley

111 citations·0/0 files stored·The Journal of Portfolio Management

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

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References

1992The Cross-Section of Expected Stock Returns 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory 1963A Simplified Model for Portfolio Analysis 1972The capital asset pricing model: Some empirical tests 2004Honey, I Shrunk the Sample Covariance Matrix 1972An Analytic Derivation of the Efficient Portfolio Frontier 1999On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model 1975BETAS AND THEIR REGRESSION TENDENCIES

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2012Stock return volatility, operating performance and stock returns: International evidence on drivers of the ‘low volatility’ anomaly 2014A Study of Low-Volatility PortfolioConstruction Methods 2012Performance Analysis and Optimal Selection of Large Minimum Variance Portfolios Under Estimation Risk 2016Returns, volatility and investor sentiment: Evidence from European stock markets 2019The Volatility Effect Revisited 2019

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Year2010

Typearticle

Published2010-11-16

VenueThe Journal of Portfolio Management

ISSN-L0095-4918

Languageen

Citations111

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.3905/jpm.2010.2010.1.009

openalex_workW2334598263

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Optimal Portfolios under Time-Varying Investment Opportunities, Parameter Uncertainty, and Ambiguity Aversion

2015A Test of Covariance-Matrix Forecasting Methods

2020Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection