Questions tagged [minimum-variance]

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Fixed Income portfolio type

Could someone kindly point me toward a primer that would cover the various type of fixed income portfolio strategies under modern portfolio theory ? In a nutshell, I would like to know what kind of ...
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Residual Risk and Variance

I've solved part a, but am struggling with b and c. $x_m$ is the market portfolio vector, and I think $T$ should be a diagonal matrix. Any hints greatly appreciated!
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541 views

Minimum Variance Portfolio Problem Python

I have a problem with the MVP-optimization and scipy. My code is the following. The Maximum-Sharpe-Ratio-Portfolio works. But if I want to optimise the MVP, scipy optimiser doesn't seem to work, ...
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56 views

Minimum Lower Partial Moment (n=2) hedging ratio

I would like to better have understanding on the minimum-LPM hedging. I have understood that the co-LPM matrix cannot be modeled by GARCH type models that are used to estimate to the covariance matrix,...
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55 views

Minimum variance portfolio's analytical solution, but assuming $t$-distribution

$$ \boldsymbol{w} = \frac{\boldsymbol{\Sigma}^{-1} \boldsymbol{1} }{\boldsymbol{1}' \boldsymbol{\Sigma}^{-1} \boldsymbol{1}} $$ is the well known closed-form analytical solution to the minimum ...
0
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1answer
69 views

is it possible to get minimum variance line having only covariance matrix?

Hey I have covariance matrix: $$C=\begin{pmatrix} 0,01 & 0.01 & 0\\ \\ 0.01 & 0,02 & -0.01 \\ \\ 0 & -0.01 & 0,03 \end{pmatrix}$$ So the variance of porfolio is: $$\...
-1
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51 views

How does the mean-variance model weight negatively correlated assets vs positively correlated ones?

Mainly wondering how the portfolio optimization model weights two stocks that have negative correlation, versus two stocks that have positive correlation. Does the mean-variance model weight them the ...