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Minimum Variance Portfolio Calculator

Get the global minimum variance allocation for two assets from volatilities and correlation.

Minimum Variance Portfolio Calculator

Two‑asset global minimum variance allocation under unconstrained weights summing to 1.

Related Calculators

Risk and diversification

Portfolio Variance

Variance from weights and covariances.

Efficient Frontier (Two‑Asset)

Optimal risk/return sets.

Mean‑Variance Optimization

Balance risk and return.

Volatility (Std Dev)

Single‑asset risk.

Guide

Focuses purely on variance; ignores expected returns.

Use annualized volatilities and correlations from the same lookback window.
Highly negative correlation can tilt weights toward balancing risks, not capital.
Consider adding return targets or constraints in a full optimizer.

Frequently Asked Questions

Global minimum variance logic and usage

What is a global minimum variance portfolio?

It is the combination of assets that achieves the lowest possible variance among all portfolios that sum to 1 under given covariances.

Does this consider expected returns?

No. GMV optimizes risk only. To balance risk and return, use mean‑variance optimization.

Can weights be negative?

Yes in this unconstrained model. Real‑world mandates may restrict shorting.

How reliable are correlations?

Correlations are unstable across regimes. Stress test across ranges to assess robustness.

What if the covariance matrix is singular?

Then the solution is not defined. Ensure inputs are reasonable; perfect correlation leads to singularity.

Is GMV suitable for risk‑averse investors?

Often yes, but consider drawdowns, taxes, and rebalancing costs beyond variance alone.

How often should I rebalance?

When volatilities/correlations shift meaningfully or on a schedule (e.g., quarterly).

Do more assets always reduce variance?

Not necessarily—benefit depends on correlations and relative risk levels.

How do I estimate volatility?

Use historical standard deviation or model‑based forecasts (e.g., GARCH) annualized.

What about tail risk?

Variance penalizes upside and downside equally; consider CVaR or drawdown metrics if tails matter.

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Minimum Variance Portfolio Calculator

Get the global minimum variance allocation for two assets from volatilities and correlation.

How to use Minimum Variance Portfolio Calculator

Step-by-step guide to using the Minimum Variance Portfolio Calculator:

Enter your values. Input the required values in the calculator form
Calculate. The calculator will automatically compute and display your results
Review results. Review the calculated results and any additional information provided

Frequently asked questions

How do I use the Minimum Variance Portfolio Calculator?

Simply enter your values in the input fields and the calculator will automatically compute the results. The Minimum Variance Portfolio Calculator is designed to be user-friendly and provide instant calculations.

Is the Minimum Variance Portfolio Calculator free to use?

Yes, the Minimum Variance Portfolio Calculator is completely free to use. No registration or payment is required.

Can I use this calculator on mobile devices?

Yes, the Minimum Variance Portfolio Calculator is fully responsive and works perfectly on mobile phones, tablets, and desktop computers.

Are the results from Minimum Variance Portfolio Calculator accurate?

Yes, our calculators use standard formulas and are regularly tested for accuracy. However, results should be used for informational purposes and not as a substitute for professional advice.