Translator Disclaimer
Open Access
VOL. 57 | 2009 A Note on the Investment Proportions of a Minimum-Variance Equity Portfolio

Abstract

It is shown that the capitalization-weighted portfolio is mathematically required to coincide with the minimum-variance portfolio, provided both portfolios are defined with respect to the same (arbitrary) collection of equities having linearly independent returns. This result is a logical consequence of the law of iterated expectations and has important implications for equity return covariance structure.

Information

Published: 1 January 2009
First available in Project Euclid: 3 August 2009

zbMATH: 1271.91099

Digital Object Identifier: 10.1214/09-LNMS5721

Subjects:
Primary: 91B28
Secondary: 62H25

Rights: Copyright © 2009, Institute of Mathematical Statistics

CHAPTER
5 PAGES


SHARE
Back to Top