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The state of the art is Asymptotic Lower Bounds for Optimal Tracking: a Linear Programming Approach by Jiatu Cai, Mathieu Rosenbaum, Peter Tankov. Hence the references of this paper are the ones to read. In the paper, they explain how you have to consider the prefactors (your $\lambda$ and $\Theta$) to be able to stay close to a target portfolio trajectory. ...

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The general formula for the global minimum variance portfolio is $w=\frac{C^{-1} 1}{1^T C^{-1} 1}$ where C is the covariance matrix and 1 is a vector of 1's. In this case the covariance matrix is diagonal with $\sigma_i^2$ in the ith diagonal element. Its inverse is also diagonal and has $\frac{1}{\sigma_i^2}$ in the ith diagonal element. Evaluating the ...

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One of the more prominent proponents has a current paper on the reasons - and why this anomaly "will persist": Why the Low Volatility Anomaly Will Persistby Eric G. Falkenstein, March 2015 Abstract Common explanations of the low volatility anomaly involve biases or frictions that cause investors to overpay for high volatility assets, giving them a ...

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