• Corpus ID: 210116413

Clustering Approaches for Global Minimum Variance Portfolio

  title={Clustering Approaches for Global Minimum Variance Portfolio},
  author={Jinwoo Park},
  journal={arXiv: Portfolio Management},
  • Jinwoo Park
  • Published 9 January 2020
  • Computer Science
  • arXiv: Portfolio Management
The only input to attain the portfolio weights of global minimum variance portfolio (GMVP) is the covariance matrix of returns of assets being considered for investment. Since the population covariance matrix is not known, investors use historical data to estimate it. Even though sample covariance matrix is an unbiased estimator of the population covariance matrix, it includes a great amount of estimation error especially when the number of observed data is not much bigger than number of assets… 



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