Advancing Portfolio Optimization: Adaptive Minimum-Variance Portfolios and Minimum Risk Rate Frameworks

This study presents the Adaptive Minimum-Variance Portfolio (AMVP) framework and the Adaptive Minimum-Risk Rate (AMRR) metric, innovative tools designed to optimize portfolios dynamically in volatile and nonstationary financial markets. Unlike traditional minimum-variance approaches, the AMVP framework incorporates real-time adaptability through advanced econometric models, including ARFIMA-FIGARCH processes and non-Gaussian innovations. Empirical applications on cryptocurrency and equity market...