Abstract
The current study aims at the estimation of a group of variance-covariance methods using the data set of
the non-financial sector of the Pakistan stock exchange. The study compares nine covariance estimators
using two assessment criteria of root mean square error and standard deviation of minimum variance
portfolios to gauge on accuracy and effectiveness of estimators. The findings of the study based on RMSE
and risk behaviour of MVPs suggest that portfolio managers receive no additional benefit for using more
sophisticated measures against equally weighted variance-covariance estimators in the construction of
portfolios.
AHSEN SAGHIR, Dr. SYED MUHAMMAD ALI TIRMIZI. (2020) An Empirical Assessment of Alternative Methods of VarianceCovariance Matrix, International Review of Management and Business Research, Volume 9, Issue 4 .
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