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Further Exploration Of Global Asset GMVPs: Does Risk Reduction Benefit From Weekly Data?

Arben Zibri    
Agim Kukeli    

Resumen

The paper studies the differences in risk reduction among global minimum variance portfolios (GMVPs) derived from the optimization of weekly and monthly return. This research follows the analysis of Zibri and Kukeli (2014) regarding differences in performance which is measured for different revision frequencies and transaction costs. The data used are weekly/monthly returns for stock, bond, gold, oil indices for the period 1996-2013. If more frequently rebalancing is applied, most restrictive weekly GMVPs reduce risk more than returns vis-vis monthly GMVPs.

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