Author

D. Ovalle

h-index 4 View on Semantic Scholar

We have 1 of 15 papers

We haven’t gathered this author’s papers yet. Follow them and we’ll fetch their work.

Not the right person? Other researchers publish under this name.

Preprint Jul 2026

Fragility of Minimum-Variance Portfolios

Minimum-variance portfolios are well known to be highly sensitive to covariance estimation error. In this paper, we show that by imposing a block diagonal correlation structure, we can derive closed-form expressions for long-only minimum-variance portfolios that make this fragility explicit. These analytical solutions...

D. Ovalle, Carl D. Laird, Ignacio E. Grossmann et al. · 0 citations