Global minimum variance portfolio : an application to the Singapore stock market

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...

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Bibliographic Details
Main Authors: Lim, Ching Jie, Walker, Cheryl Chia, Cheng, Paul Shin Wee, Ng, Nicolson Bowen
Other Authors: Charlie Charoenwong
Format: Final Year Project (FYP)
Language:English
Published: 2013
Subjects:
DRNTU::Business
Online Access:http://hdl.handle.net/10356/51490

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