2 papers
q-fin.MF2026
The Long-Only Minimum Variance Portfolio in a One-Factor Market: Theory and Asymptotics
Alec Kercheval, Ololade Sowunmi
We study the long-only minimum variance (LOMV) portfolio under a one-factor covariance model with asset betas of arbitrary sign. We provide an explicit solution in terms of the set…
q-fin.MF2026
Understanding the Long-Only Minimum Variance Portfolio
Nick L. Gunther, Alec N. Kercheval, Ololade Sowunmi
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 th…