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Minimum Variance Portfolio Investment Strategy Individual Investor Approach
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Economics.
2018 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

The Minimum Variance Portfolio has a unique property, it doesn’t depend on expected returns input in determining assets weights. This attracted a big number of researches to empirically testing minimum variance portfolio investment strategy and all came to conclusion that it provides high risk adjusted return. This paper aimed to find the answer to the question whether this investment strategy is applicable for individual investor with a limited access to data and financial instruments. The portfolio of 105 assets created using stock market indexes, commodity and corporate bond indexes from all around the world. Data was collected form internet resources from January 2006 to December 2017. The study finds that minimum variance portfolio strategy can provide volatility reduction and downside risk protection during market downturns and in the long run high risk adjusted returns. The private investor can benefit from applying this strategy. 

Place, publisher, year, edition, pages
2018.
Keywords [en]
Markowitz, Modern Portfolio Theory, Minimum Variance Optimization, portfolio optimization, investment strategy, individual investor
National Category
Economics
Identifiers
URN: urn:nbn:se:uu:diva-356949OAI: oai:DiVA.org:uu-356949DiVA, id: diva2:1237538
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Available from: 2018-08-09 Created: 2018-08-09 Last updated: 2018-08-09Bibliographically approved

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