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 ...

Purpose. Using a portfolio comprising liquid global stocks and bonds, this study aims to limit absolute risk to that of a standardised benchmark and determine whether this has a significant impact on expected return in ...

This article uses four methods to derive optimal portfolios comprising investments in the seven most representative stock exchanges in Latin America from 2001 to 2006 and it studies their composition and stability through ...

This article studies the serial dependence and the speed of adjustment to new information of weekly portfolios returns of stocks traded in the Santiago de Chile stock exchange. Portfolios grouped by size and traded volume ...

Asset allocation is important for diversifying risk and realizing gains in the financial market. It involves decisions taken under uncertainty based on statistical methods. Returns on financial assets generally present ...