In the last 10 years, the concept of the minimum-variance (MV) portfolio has successfully evolved from an academic topic of discussion to an implementable investment theme. Currently, a significant number of investment mandates or products have embraced the concept and allocated financial resources to MV investing. The concept of MV investing is applicable in a variety of geographical regions, but despite its wide applications, MV investing is still a relatively new topic in the China A-shares marketing.
This research, previously published in The Journal of Portfolio Management, aims to fill the knowledge gap in this direction. Investors will increasingly need to understand more about the China A-shares market and make the necessary allocation in their global portfolio. In addition to a market-cap-weighted approach, investors should be given more choices on different portfolio solutions for their China A-shares allocation, and MV investing can be one of the options.
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