Abstract

Minimum Norm, Minimum Variance Portfolios, and Mean-Variance Portfolio Policies

Pascal Nguyen

Groupe ESC Nantes Atlantique

I focus on the minimum norm and the minimum variance portfolios as the two critical portfolios on the efficient frontier. After a description of their basic properties, two applications in continuous time are considered. The first is concerned with optimal asset allocation in a complete market framework. The second application deals with portfolio hedging when the futures contract is imperfectly correlated with the stock price.