On the inverse of the covariance matrix in portfolio analysis
Board of Governors of the Federal Reserve System, 1997 - Capital assets pricing model - 20 pages
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alternative ANALYSIS Guy V.G. asset holdings asset i's Asset Pricing Model asset returns asset's variance Board of Governors brackets Capital Asset Pricing CAPM central to portfolio cofactor COFv column vector dE/dS diagonal element direct characterization equation 22 equilibrium excess expected return Exchange Rate expected excess return Federal Reserve System Finance Discussion Papers given asset Guy V.G. Stevens holdings of risky identity matrix illuminating expressions independence International Finance Discussion inverse element inverse matrix 17 investor investor's risk-return frontier ith asset ith row Jon Faust Lagrange multiplier market portfolio MATRIX IN PORTFOLIO multiple regression multiplying obtained by regressing off-diagonal elements optimal hedge regression optimal holding optimal linear combination partitioned matrix inversion permutations PORTFOLIO ANALYSIS Guy residual variance return of asset returns and variances risk and return row and column row vector scalar second asset security market line set 9 slope subscript symmetry systematic risk tradeoff between risk variable variance-covariance matrix