Abstract

This study examines the market level determinants of the portfolio construction process behind minimum variance investing. I show that the minimum variance portfolio (MVP) weight composition will be similar to that of equally weighted portfolio (1/N portfolio) if the ratio of idiosyncratic volatility relative to total return volatility is high and the number of securities in the portfolio is large.

Full Text
Published version (Free)

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call