A Closer Look at the Minimum-Variance Portfolio Optimization Model

Table 3

Test results of the -norm-constrained minimum-variance portfolio model.

δ	Optimal portfolios										Profit
1	0.0000	0.0684	0.0000	0.2037	0.5530	0.0116	0.1633	0.0000	0.0000	0.0000	0.0157
1.10	−0.0296	0.0932	0.0000	0.2078	0.5510	0.0123	0.1829	0.0028	−0.0008	−0.0196	0.0162
1.1996	−0.0484	0.1161	−0.0094	0.2122	0.5488	0.0130	0.2007	0.0089	−0.0012	−0.0407	0.0136
1.1998	−0.0484	0.1161	−0.0094	0.2122	0.5488	0.0130	0.2007	0.0089	−0.0012	−0.0407	0.0136