Optimum asset allocation: Empirical evidence of US market

Abstract

Our findings are to relate minimum variance portfolio around ten industries. Our paper’s result of minimum variance divides into three parts which are historical return, Single-index model, Fama and French three factors model based on co-variance of their parts. Paper’s findings is to show minimum variance portfolio by three parts which are historical return, Single-index model, and Fama and French three factors model.