Abstract
The current study aims at the estimation of a group of variance-covariance methods using the data set of the non-financial sector of the Pakistan stock exchange. The study compares nine covariance estimators using two assessment criteria of root mean square error and standard deviation of minimum variance portfolios to gauge on accuracy and effectiveness of estimators. The findings of the study based on RMSE and risk behaviour of MVPs suggest that portfolio managers receive no additional benefit for using more sophisticated measures against equally weighted variance-covariance estimators in the construction of portfolios. Keywords: Variance-Covariance Estimators, Portfolio Construction, Mean-Variance Optimization.
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