Understanding the Long-Only Minimum Variance Portfolio

By Nicholas Gunther, Alec Kercheval, Ololade Sowunmi

Published 2025-07-09

Everscope rating

1846.6

Relevance to quantitative trading

8 / 10

Implementation complexity

5 / 10

Reproducibility

4 / 5

About this paper

Methodology: Analytical solution of constrained quadratic optimization under factor models. Problem types: Portfolio Optimization, Optimization, Risk Management.

arXiv:2603.07692 · Paper rankings

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