En cours de chargement...
Executive summaryThis report discusses the results of performance comparison between a passive market portfolio and a global minimum variance portfolio (GMVP). For the GMVP, both computational methods of the full sample covariance matrix and the single index model (SIM) were examined. A five-year back test was conducted for analyzing these portfolios. This report will first discuss the back test results and then the suggestions from the research on GMVP.
By and large, the GMVP is not recommended.