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A New Look at Minimum Variance Investing · Study

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PreprintA New Look at Minimum Variance Investing

Bernd Scherer2010

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Preprintgreen2010

A New Look at Minimum Variance Investing

41 citations·0/0 files stored·SSRN Electronic Journal

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

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References

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 2004Honey, I Shrunk the Sample Covariance Matrix 1989Testing for the Constancy of Parameters Over Time 2008Robust performance hypothesis testing with the Sharpe ratio 1981Performance Hypothesis Testing with the Sharpe and Treynor Measures

Cited by

2013SUB-ADDITIVE RECURSIVE "MATCHING" NOISE AND BIASES IN RISK-WEIGHTED INDEX CALCULATION METHODS IN INCOMPLETE MARKETS WITH PARTIALLY OBSERVABLE MULTI-ATTRIBUTE PREFERENCES 2012Strategic Allocation to Premiums in the Equity Market 2011Strategic Allocation to Premiums in the Equity Market

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2011A note on the returns from minimum variance investingarticle · 14 shared references 2020Diversification and portfolio theory: a reviewreview · 11 shared references 2008Toward the Design of Better Equity Benchmarksarticle · 9 shared references 2015Is there a low-risk anomaly across countries?article · 9 shared references 2013SUB-ADDITIVE RECURSIVE "MATCHING" NOISE AND BIASES IN RISK-WEIGHTED INDEX CALCULATION METHODS IN INCOMPLETE MARKETS WITH PARTIALLY OBSERVABLE MULTI-ATTRIBUTE PREFERENCESarticle · 8 shared references 2013How should individual investors diversify? An empirical evaluation of alternative asset allocation policiesarticle · 7 shared references

Details

Year2010

Typepreprint

Published2010-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations41

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.1681306

openalex_workW2548096835

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