Minimum Variance Portfolios in the German Stock Market

Jan Bastin

Prague Economic Papers, 2017, vol. 2017, issue 1, 103-120

Abstract: The text demonstrates out-of-sample performances of minimum variance portfolios in the German stock market in the period 2002-2015. Because of two huge drawdowns on equity markets in the period 2000-2010, scholars and professionals have tried to find an alternative to the market-cap weighted investing; potentially the minimum variance investing approach. The paper presents the construction of minimum variance portfolios, the description of their compositions and empirical risk-return characteristics under various holding periods. As anticipated, minimum variance portfolios have lower risk vis-à-vis the CDAX index, but they have also higher returns. Finally, minimum variance portfolios have better risk-adjusted performance figures in comparison with equal-weighted alternatives.

Keywords: minimum variance portfolio; German stock market; CDAX index; risk minimization returns (search for similar items in EconPapers)
JEL-codes: G10 G11 (search for similar items in EconPapers)
Date: 2017
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DOI: 10.18267/j.pep.599

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