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Minimum-Variance Portfolio Composition

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References

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2012Stock return volatility, operating performance and stock returns: International evidence on drivers of the ‘low volatility’ anomaly85 cited
2014A Study of Low-Volatility PortfolioConstruction Methods57 cited
2012Performance Analysis and Optimal Selection of Large Minimum Variance Portfolios Under Estimation Risk57 cited

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2016Returns, volatility and investor sentiment: Evidence from European stock markets52 cited

2019The Volatility Effect Revisited50 cited

2019Optimal Portfolios under Time-Varying Investment Opportunities, Parameter Uncertainty, and Ambiguity Aversion40 cited

2015A Test of Covariance-Matrix Forecasting Methods28 cited

2020Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection27 cited