Minimum-variance portfolios, which ignore the mean and focus on the (co)variances of asset returns, outperform mean-variance approaches in out-of-sample tests. Despite these promising results, minimum-variance policies ...

The Mutual Fund Theorem is an elegant way of describing how investors with different attitudes towards risk should construct their portfolios. It is, however, often misinterpreted. This paper revisits the topic by defining ...

This study analyzes the out-of-sample performance of minimum-variance and low volatility portfolios in the Brazilian stock market from 2003 to 2013, when compared to IBOVESPA index and an equally weighted portfolio. The ...

This study analyzes the out-of-sample performance of minimum-variance and low volatility portfolios in the Brazilian stock market from 2003 to 2013, when compared to IBOVESPA index and an equally weighted portfolio. The ...

We reassess the recent finding that no established portfolio strategy outperforms the naively diversified portfolio, 1/N, by developing a constrained minimum-variance portfolio strategy on a shrinkage theory based framework. ...

Based on a General Dynamic Factor Model with infinite-dimensional factor space, we develop a new estimation and forecasting procedures for conditional covariance matrices in high-dimensional time series. The performance ...

Portfolio optimization strategies are advocated as being able to allow the composition of stocks portfolios that provide returns above market benchmarks. This study aims to determine whether, in fact, portfolios based on ...