Performance of global minimum variance portfolio.

Performance of global minimum variance portfolio.

This research uses four different methods of variance-covariance estimation namely Traditional, Traditional (Constraints), Zero Correlation and Constant Correlation to construct the Global Minimum Variance Portfolio (GMVP). The portfolios generated are subjected to Monthly, Quarterly, Semi-Annual an...

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Bibliographic Details
Main Authors: Chow, Ming Jie., Quek, Zhu En., Yeo, Alan Wei Tat.
Other Authors: Charlie Charoenwong
Format: Final Year Project (FYP)
Language:English
Published: 2009
Subjects:
DRNTU::Business::Finance::Portfolio management
Online Access:http://hdl.handle.net/10356/15102

Internet

http://hdl.handle.net/10356/15102

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