Minimum Volatility Portfolio Construction in Barra Portfolio Manager - A Practical Approach

categories: Portfolio Construction and Optimization, Barra PortfolioManager, PMA, KARELS Ralph, Product Documentation, general

The concept of minimum volatility portfolios and strategies has become increasingly popular among investors and portfolio managers. In this practical note, we will explain how minimum volatility strategies can be designed in Barra Portfolio Manager using the Barra Global Equity Model 2 (GEM2) as well as the new-generation GEM3, which features the new Volatility Regime Adjustment and Optimization Bias Adjustment techniques.

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