2017
DOI: 10.18267/j.pep.599
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Minimum Variance Portfolios in the German Stock Market

Abstract: The text demonstrates out-of-sample performances of minimum variance portfolios in the German stock market in the period 2002-2015. Because of two huge drawdowns on equity markets in the period 2000-2010, scholars and professionals have tried to find an alternative to the marketcap weighted investing; potentially the minimum variance investing approach. The paper presents the construction of minimum variance portfolios, the description of their compositions and empirical risk-return characteristics under vario… Show more

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Cited by 4 publications
(6 citation statements)
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“…Summarising the results for the financial market of Serbia, it is evident that robust strategies have achieved positive outcomes relative to the strategy of market replication. This result is opposite to the finding of DeMiguel et al (2009) and in line with the findings of Kim et al (2018) and Bastin (2017), with the caution that this result refers only to liquid shares included in the basket of the BELEX15 index. The best results in the financial market of Serbia, within the set of robust strategies, were achieved by strategies that account for the estimation risk by assessment of the expected values of return applying the shrinkage method.…”
Section: Strategycontrasting
confidence: 68%
“…Summarising the results for the financial market of Serbia, it is evident that robust strategies have achieved positive outcomes relative to the strategy of market replication. This result is opposite to the finding of DeMiguel et al (2009) and in line with the findings of Kim et al (2018) and Bastin (2017), with the caution that this result refers only to liquid shares included in the basket of the BELEX15 index. The best results in the financial market of Serbia, within the set of robust strategies, were achieved by strategies that account for the estimation risk by assessment of the expected values of return applying the shrinkage method.…”
Section: Strategycontrasting
confidence: 68%
“…In a regional/emerging markets/CEE context, the situation can be different because of lower number of high liquid stocks. Bastin (2015) studied performances of minimum variance portfolios in the Prague stock exchange, a small regional stock market. He concludes that MVPs outperformed the market-cap weighted PX index in the period 2006-2013, but provide a warning: "Investing on the Czech stock market alone is not a clever way to diversify risk".…”
Section: Resultsmentioning
confidence: 99%
“…The mean-variance estimation is a cornerstone of asset allocation. Markowitz's approach (Markowitz, 1952) is still the foundation of most modern approaches (Bastin, 2017;Kim et al, 2021). However, it has been widely criticized for its sensitivity to measurement errors, likely to result in unreal excessive weights and poor out-of-sample attributes (Kim et al, 2018;Wolf, 2003, 2004).…”
Section: Introductionmentioning
confidence: 99%
“…The mean-variance estimation is a cornerstone of asset allocation. Markowitz's approach (Markowitz, 1952) is still the foundation of most modern approaches (Bastin, 2017; Kim et al. , 2021).…”
Section: Introductionmentioning
confidence: 99%