Tag Archives: minimum variance portfolio
Implied alpha and minimum variance
Under the covers of strange bedfellows. Previously The idea of implied alpha was introduced in “Implied alpha — almost wordless”. In a comment to that post Jeff noticed that the optimal portfolio given for the example is ever so close to the minimum variance portfolio. That is because there is a problem with the example … Continue reading
Posted in Quant finance, R language
Tagged implied alpha, minimum variance portfolio, reverse optimization
7 Comments
Asset correlations with minimum variance portfolios
The minimum variance portfolios have slightly reduced correlations to assets in weight-constrained portfolios. Previously “Portfolio diversity” introduced the topic of asset-portfolio correlations. It also generated four sets of long-only random portfolios as of the start of 2011 using constituents of the S&P 500: exactly 20 names, weights between 1% and 10% exactly 200 names, weights … Continue reading
Posted in Quant finance
Tagged asset-portfolio correlation, minimum variance portfolio, S&P 500
6 Comments
A minimum variance portfolio in 2011
2011 was a good vintage for minimum variance, at least among stocks in the S&P 500. Previously The post “Realized efficient frontiers” included, of course, a minimum variance portfolio. That portfolio seemed interesting enough to explore some more. “What does ‘passive investing’ really mean” suggests that minimum variance should be considered a form of passive … Continue reading
Anomalies meet volatility
Isn’t the horse facing the cart? “A New Look At Minimum Variance Investing” by Bernd Scherer (SSRN version) looks at a few aspects of minimum variance portfolios. We’ve been in this neighborhood before with The volatility puzzle solved? This post contains some comments on Bernd’s paper. Efficient frontiers My first concern with the paper is … Continue reading
The volatility puzzle solved?
Finance textbooks say that more volatile assets should have higher returns. The volatility puzzle is that that doesn’t always hold true. You should be getting used to textbooks not always being right. Harin de Silva gave a talk last week entitled “Low Volatility Portfolios: A Free Lunch?” at a meeting of the CFA Society of … Continue reading
