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The Sky is the Limit: Harvesting More from a Minimum Volatility Strategy?

https://doi.org/10.2139/ssrn.3219178

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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/0024-3795(88)90223-6openalex-extracted

Computing a nearest symmetric positive semidefinite matrix

inferredcites →https://doi.org/10.1016/j.jfineco.2013.10.005openalex-extracted

Betting against beta

inferredcites →https://doi.org/10.1016/s0927-5398(03)00007-0openalex-extracted

Improved estimation of the covariance matrix of stock returns with an application to portfolio selection

inferredcites →https://doi.org/10.2139/ssrn.2320264openalex-extracted

Restoring Value to Minimum Variance

inferredcites →https://doi.org/10.2469/faj.v67.n5.5openalex-extracted

A Survey of Alternative Equity Index Strategies

inferredcites →https://doi.org/10.3905/jod.1998.408000openalex-extracted

Correlations and Volatilities of Asynchronous Data

inferredcites →https://doi.org/10.3905/jpm.1993.409440openalex-extracted

The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice

inferredcites →https://doi.org/10.3905/jpm.2007.698039openalex-extracted

The Volatility Effect

inferredcites →https://doi.org/10.3905/jpm.2013.39.3.084openalex-extracted

Minimum-Variance Portfolios Based on CovarianceMatrices Using Implied Volatilities: Evidencefrom the German Market

inferredcites →https://doi.org/10.3905/jpm.2014.40.4.089openalex-extracted

A Study of Low-Volatility PortfolioConstruction Methods

inferredcites →https://doi.org/10.3905/jpm.2016.42.3.094openalex-extracted

The Value of Low Volatility

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