Minimum Variance Portfolios in the Brazilian Equity Market
We investigate minimum variance portfolios in the Brazilian equity market using different methods to estimate the covariance matrix, from the simple model of using the sample covariance to multivariate GARCH models. We compare the performance of the minimum variance portfolios to those of the follow...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Brazilian Society of Finance
2013-03-01
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| Series: | Revista Brasileira de Finanças |
| Subjects: | |
| Online Access: | http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/5830/7838 |