On the inverse of the covariance matrix in portfolio analysis
Board of Governors of the Federal Reserve System, 1995 - Business & Economics - 15 pages
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Asset Pricing Model asset's excess expected asset's variance Board of Governors bottom block Capital Asset Pricing CAPM central to portfolio cofactor ji Cofu dE/dS detC direct characterization Discussion Papers IFDP econometric notation Economic elements of c1 equation 9 excess expected returns expected excess returns expression Federal Reserve System Finance Discussion Papers Ghosal Prakash Loungani given risky asset Guy V.G. Stevens holding for asset International Finance Discussion inverse matrix Iyigun John Ammer key concepts Lagrange multiplier Macroeconomic market portfolio satisfies Martin Uribe MATRIX IN PORTFOLIO multiple correlation coefficient multiple regression N-l column vector Nathan Sheets non-diversifiable optimal holding order conditions original C matrix original covariance matrix Papers IFDP Number partition Phillip Swagel PORTFOLIO ANALYSIS Guy Real Exchange Rate regression coefficients risk and return risk-return efficiency frontier risk-return efficiency locus risk-return locus risk-return tradeoff row and column security market line slope standard deviation tradeoff between risk variables Vivek Ghosal Prakash zN.t