Building the Global Minimum Variance Portfolio G
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Publisher
Springer Nature Switzerland
Link
https://link.springer.com/content/pdf/10.1007/978-3-031-48169-7_7
Reference41 articles.
1. Best, M.l J., and R. R. Grauer. 1991. Positively weighted minimum-variance portfolios and the structure of asset expected returns. Journal of Financial and Quantitative Analysis 26: 513–537.
2. Black, F., and R. Litterman. 1992. Global portfolio optimization. Financial Analysts Journal 48: 28–43.
3. Chan, L.K.C., J. Karceski, and J. Lakonishok. 1999. On portfolio optimization: Forecasting covariances and choosing the risk model. Review of Financial Studies 12: 937–974.
4. Clark, R., H. de Silva, and S. Thorley. 2006. Minimum-variance portfolios in the U.S. equity market. Journal of Portfolio Management 33: 10–24.
5. Clarke, R.G., H. De Silva, and S. Thorley. 2011. Minimum-variance portfolio composition. Journal of Portfolio Management 37: 31–45.
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