Is minimum-variance investing really worth the while? An analysis with robust performance inference

This paper examines the risk-adjusted performance of the minimum-variance equity investment strategy in the US, confirming and providing robust inference concerning earlier findings that constrained minimum-variance portfolios do outperform a value weighted benchmark. The authors, from the Goethe-University Frankfurt and the International University, Rheingaustr, also highlight the high sensitivity of the constrained minimum-variance portfolios to the revision frequency and the imposed maximum portfolio weight constraints.