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| Main Authors: | , , |
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| Format: | Preprint |
| Published: |
2026
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2603.07692 |
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| _version_ | 1866908872113913856 |
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| author | Gunther, Nick L. Kercheval, Alec N. Sowunmi, Ololade |
| author_facet | Gunther, Nick L. Kercheval, Alec N. Sowunmi, Ololade |
| contents | For a covariance matrix coming from a factor model of returns, we investigate the relationship between the long-only global minimum variance portfolio and the asset exposures to the factors. In the case of a 1-factor model, we provide a rigorous and explicit description of the long-only solution in terms of the parameters of the covariance matrix. For $q>1$ factors, we provide a description of the long-only portfolio in geometric terms. The results are illustrated with empirical daily returns of US stocks. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2603_07692 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Understanding the Long-Only Minimum Variance Portfolio Gunther, Nick L. Kercheval, Alec N. Sowunmi, Ololade Mathematical Finance Portfolio Management Risk Management 62P05 (Primary), 90C20 For a covariance matrix coming from a factor model of returns, we investigate the relationship between the long-only global minimum variance portfolio and the asset exposures to the factors. In the case of a 1-factor model, we provide a rigorous and explicit description of the long-only solution in terms of the parameters of the covariance matrix. For $q>1$ factors, we provide a description of the long-only portfolio in geometric terms. The results are illustrated with empirical daily returns of US stocks. |
| title | Understanding the Long-Only Minimum Variance Portfolio |
| topic | Mathematical Finance Portfolio Management Risk Management 62P05 (Primary), 90C20 |
| url | https://arxiv.org/abs/2603.07692 |