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Younes Berouaga, Cherif El Msiyah and Jaouad Madkour
Portfolio optimization is a pertinent topic of significant importance in the financial literature. During the portfolio construction, an investor confronts two important steps: portfolio selection and portfolio allocation. This article seeks to investiga...
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Kei Nakagawa, Mitsuyoshi Imamura and Kenichi Yoshida
In the field of portfolio management, practitioners are focusing increasingly on risk-based portfolios rather than on mean-variance portfolios. Risk-based portfolios are constructed based solely on covariance matrices, and include methods such as minimum...
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Sabastine Mushori,Delson Chikobvu
Pág. 256 - 264
A dynamic stochastic methodology in optimal portfolio selection that maximizes investment opportunities and minimizes maximum downside risk while taking into account implicit transaction costs incurred in initial trading and in subsequent rebalancing of ...
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Ricardo Pereira Câmara Leal,Carlos Heitor Campani
Pág. 45 - 64
This article presents a literature review that justified the creation of the equally weighed and minimum variance Valor-Coppead stock indices and offers details about its calculation. There was no Brazilian stock index with these simple portfolio formati...
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Neslihan Fidan Keçeci, Viktor Kuzmenko and Stan Uryasev
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Daniel Broby,Raphael Faessler,Milenko Josavac,Christophe Dehut
Pág. 1270 - 1286
We investigate the diversification benefits of adding Switzerland to a Eurozone equity portfolio, both before and after the removal of Swiss franc peg to the euro. We use a mean-variance portfolio framework to compare the benchmark indices in the Eurozon...
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Arben Zibri, Agim Kukeli
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 perfor...
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Paulo Ferreira Naibert,João Caldeira
Pág. 504 - 543
In this paper, we study the problem of minimum variance portfolio selection based on a recent methodology for portfolio optimization restricting the allocation vector proposed by Fan et al. (2012). To achieve this, we consider different conditional and u...
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Alexandre Rubesam,André Lomonaco Beltrame
Pág. 81 - 118
We investigate minimum variance portfolios in the Brazilian equity market using different methods to estimate the covariance matrix, from the simple model of using the sample covariance to multivariate GARCH models. We compare the performance of the mini...
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André Alves Portela Santos,Cristina Tessari
Pág. 369 - 393
In this paper we assess the out-of-sample performance of two alternative quantitative portfolio optimization techniques - mean-variance and minimum variance optimization ? and compare their performance with respect to a naive 1/N (or equally-weighted) po...
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