The mean-variance model from the inverse of the variance-covariance matrix
AbstractIn this paper we obtain the main results of the Markowitz mean-variance model from the inverse of the covariance matrix, following a shorter and mathematically rigorous path. We also obtain the equilibrium expression of Sharpes capital asset pricing model (CAPM).
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Bibliographic InfoPaper provided by Universitat de Barcelona. Espai de Recerca en Economia in its series Working Papers in Economics with number 271.
Length: 0 pages
Date of creation: 2012
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Postal: Espai de Recerca en Economia, Facultat de CiÃ¨ncies EconÃ²miques. Tinent Coronel Valenzuela, Num 1-11 08034 Barcelona. Spain.
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Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-02-20 (All new papers)
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