Global minimum variance portfolio : an application to the Singapore stock market
This paper studies the performance of the Global Minimum Variance Portfolio (GMV Portfolio) constructed using three different models of estimating the covariance matrix; the Historical Model, Constant Correlation Model and Market Model. Unlike other studies that do not explore the effects of optimal...
| Main Authors: | , , , |
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| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Language: | English |
| Published: |
2013
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/51490 |