Author

Ignacio E. Grossmann

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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