Minimum Variance Portfolio
Also called: min var portfolio, global minimum variance
The minimum variance portfolio is the combination of assets with the lowest possible volatility — the leftmost point of the efficient frontier. It needs only the covariance matrix, not expected returns, which is its practical advantage: expected returns are estimated with enormous error and covariances far less so. That robustness explains why minimum-variance strategies often beat theoretically optimal mean-variance ones out of sample.
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