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2
votes
1answer
80 views

How to evaluate minimum-variance strategies against perfect information mvp

The minimum variance portfolio should minimize the standard deviation (variance) of the portfolio at time $t+1$. The covariance matrix $\Sigma_{t+1}$ needs to be estimated in order to form the mvp. ...
3
votes
0answers
446 views

Portfolio Optimization with Monte Carlo Simulation - How to do it with Excel?

If I have three asset classes and their historical weekly returns for five years, how can I construct a minimum variance portfolio and an efficient frontier plot with Excel? To do that do I have to ...
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0answers
15 views

High Beta 'Filter' for Minimum Variance Portfolios (MVP's) - Lower Risk/Improve Return?

I am busy conducting research in South Africa on the JSE. I am investigating several risk based portfolios with an emphasis on MVP/min vol. My process is as follows: Although the JSE has around 400 ...