# 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 ...
92 views

### 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!
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, ...
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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### 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 ...
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: \...