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What the study examines
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.
BRVM 30horizon riskserial covarianceportfolio construction
Scope & method
Scope
BRVM
01 Jul 2025 – 30 Jun 2026
Approach
Portfolio Risk / Market Microstructure
Detailed methodology is included in the full report.
Reading
A focused question
Review the method and its limitations before interpreting the results.
Sources & access
Detailed sources and methodological checks accompany the full report.