Understanding the outperformance of the minimum variance portfolio

Bednarek, Ziemowit; Patel, Pratish

doi:10.1016/j.frl.2017.09.005

Cited by 11 publications

(5 citation statements)

References 11 publications

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“…While our paper focuses on volatility as a risk measure for the low-risk effect, note thatBednarek and Patel (2018) show that volatility-based and beta-based anomalies are positively related Shi, Liu, and Ho (2016). investigate the effect of news sentiment on the relationship between idiosyncratic volatility and returns.…”

mentioning

confidence: 99%

Media attention and the volatility effect

Blitz¹,

Huisman²,

Swinkels

et al. 2020

Finance Research Letters

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This is a PDF file of an article that has undergone enhancements after acceptance, such as the addition of a cover page and metadata, and formatting for readability, but it is not yet the definitive version of record. This version will undergo additional copyediting, typesetting and review before it is published in its final form, but we are providing this version to give early visibility of the article. Please note that, during the production process, errors may be discovered which could affect the content, and all legal disclaimers that apply to the journal pertain.

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mentioning

confidence: 99%

Media attention and the volatility effect

Blitz¹,

Huisman²,

Swinkels

et al. 2020

Finance Research Letters

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“…This strategy is of great concern over the past several years as well, especially when a financial crisis happens, and risk management is needed urgently [15]. Bednarek and Patel [16] came out the result that the MVP portfolio tends to long low beta stocks and short high beta stocks, which did happen in this paper. Both models seem to choose BAC as the greatest weight stock, and it is possible because the Sharpe ratio of FF3F Model is higher than that of CAPM, the weights increase when change model from CAPM to FF3F Model.…”

Section: Resultsmentioning

confidence: 75%

Portfolio Optimization for Several Industries among the U.S. Stock Market

Li¹

2023

BCPBM

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Optimizing portfolio has been a popular topic since it was proposed because it can reduce the investment risk. This study selected five active stocks from different industries, including Online E-Commerce, Commercial Banks, Motor Vehicles, Mobile Communication Production, and Telecommunications. Then they were allocated into five kinds of portfolios, which are tangency portfolios and minimum variance portfolios under Capital Asset Pricing Model and Fama-French three-factor Model, as well as the 1/N portfolio. The results found that ‘BAC’ and ‘T’ have the largest weight and the lowest weight respectively in the two models. The comparison of the five portfolios showed that the portfolio with the highest cumulative return is the tangency portfolio under FF3F Model, and the 1/N portfolio also performed well. Only these two portfolios outperformed the SPDR S&P 500EFT Trust. This research may help investors focused on the five sectors mentioned above to have a better idea of how to allocate their capital.

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“…According to Bednarek and Patel [14], the minimum variance portfolio can outperform several models in the construction of the actual portfolio. Thus, this paper particularly focuses on this model.…”

Section: Resultsmentioning

confidence: 99%

The Application of Monte Carlo Simulation and Mean-variance in Portfolio Selection

Li¹,

Zhong²

2022

BCPBM

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This paper manages to construct an efficient portfolio that has a better return than the market index. This portfolio is unique because its five assets have been carefully picked from different industries to diversify risk, which is rarely seen in other research. First, this article uses Monte Carlo simulation to generate a possible portfolio and calculate the weight of each asset in different scenarios. Second, it uses the mean-variance model to measure the risk and return of the portfolio. Based on the accessed data, this study finds that the daily return of the minimum volatility portfolio outruns the market index, and it also determines the weight of each stock in the minimum volatility portfolio. The paper provides feasible ways of constructing an efficient portfolio, such as how to select stocks and allocate assets. The results in this paper may benefit the related investors in financial markets and help them find efficient portfolio that outruns the market index.

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Understanding the outperformance of the minimum variance portfolio

Cited by 11 publications

References 11 publications

Media attention and the volatility effect

Media attention and the volatility effect

Portfolio Optimization for Several Industries among the U.S. Stock Market

The Application of Monte Carlo Simulation and Mean-variance in Portfolio Selection

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