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Minimum Variance Weighting Based Indices Weight Constituent Stocks Using A Mean-Variance
Minimum Variance Weighting Based Indices Weight Constituent Stocks Using A Mean-Variance
Minimum Variance Weighting Based Indices Weight Constituent Stocks Using A Mean-Variance
optimization process. In a volatility weighted indices, highly volatile stocks are given less weight
in the index, while in a minimum variance weighting index, highly volatile stocks that are
negatively correlated with the rest of the index can be given relatively larger weights than they
would be given in the volatility weighted index.[1