RicherFin Research
RicherFin Research RF-MS-005

Portfolio Risk / Market Microstructure · 20 Oct 2026

The Hidden Covariance in BRVM 30 Portfolios

How does measured BRVM 30 portfolio risk change from one to twenty sessions under different portfolio weights?

Abstract

This study reconstructs all 30 BRVM 30 securities from official market bulletins and examines how daily covariance scales across institutional risk horizons under float-cap, equal and inverse-volatility portfolio constructions. It combines a full horizon-risk term structure with activity diagnostics and independent daily price-limit sequences to distinguish portfolio-weight effects from competing market-microstructure explanations.

Keywords: BRVM 30 · horizon risk · serial covariance · portfolio construction

Full Research

2 pages · Empirical Research · Methodology · Results · Robustness

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