Report on Performance Comparison between Market Portfolio and GMVP
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- $0.99
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- $0.99
Publisher Description
Executive summary
This 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.
GENRE
Business & Personal Finance
RELEASED
2020
October 14
LANGUAGE
EN
English
LENGTH
6
Pages
PUBLISHER
Wing Ho NG
SELLER
Draft2Digital, LLC
SIZE
131.8
KB
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