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This paper applies minimum variance portfolio optimization to the Baltic equity markets and describes the out-of-sample performance of the optimized portfolios. The sample covariance matrix enhanced by Bayesian shrinkage procedure is employed to determine portfolio weights. The empirical results show that in the long run Baltic minimum variance portfolios have 20-30% lower volatility without the expense of lower returns compared to capitalization weighted market indices. Although suchdoi:10.2139/ssrn.1599709 fatcat:ynrdonspnvab5iqpsmdbgfssau