Minimum Variance Portfolio, Equally Weighted Portfolio or Their Combinations: An Empirical Analysis
In this paper, we investigate whether the performance of combinations of minimum variance portfolio and equally weighted portfolio can be significantly improved in empirical analysis. On the short-selling conditions of the market, we propose the optimal certainty-equivalent return combination of the na(i)e 1/N strategy and minimum covariance portfolio, which outperforms the other portfolios we considered even with high level of risk aversion. Whats more, minimum covariance portfolio can outperform the na(i)e 1/N strategy in a long enough parameter estimation interval, and parameter estimation is important factors in constructing optimal portfolio.
minimum variance portfolio combinations the na(i)e 1/N strategy certaintyequivalent return
ZENG Ting JIANG Chonghui MA Yongkai
School of Management and EconomicsUniversity of Electronic Science and Technology of China Chengdu, School of Management and Economics University of Electronic Science and Technology of China Chengdu,
国际会议
大连
英文
344-349
2012-07-07(万方平台首次上网日期,不代表论文的发表时间)