A Mean-Variance Analysis of the Global Minimum Variance Portfolio Constructed Using the CARBS Indices

Coenraad C. A. Labuschagne (), Niel Oberholzer and Pierre J. Venter ()
Additional contact information
Coenraad C. A. Labuschagne: University of Johannesburg
Niel Oberholzer: University of Johannesburg
Pierre J. Venter: University of Johannesburg

Chapter Chapter 5 in Advances in Panel Data Analysis in Applied Economic Research, 2018, pp 55-68 from Springer

Abstract: Abstract The purpose of this paper is to construct a global minimum variance portfolio (GMVP) using the log returns of the CARBS (Canada, Australia, Russia, Brazil, South Africa) indices. The weights obtained indicate that most of the portfolio should be invested in Canadian equity. The returns series of the CARBS and the GMVP seem to be consistent with the stylized facts of financial time series. Further empirical analysis shows that the CAPM relationship holds for Canada, South Africa, and the GMVP. The systematic risk (β) of the GMVP is the lowest, and the Russian equity index is the highest. However the R2 of all the models indicate that the CAPM relationship is not a good fit for all the variables and can therefore not be considered a reliable measure of risk.

Date: 2018
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-319-70055-7_5

Ordering information: This item can be ordered from
http://www.springer.com/9783319700557

DOI: 10.1007/978-3-319-70055-7_5

Access Statistics for this chapter

More chapters in Springer Proceedings in Business and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().