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On the Use of a Covariance Function in a Portfolio Model

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  • Dalal, Ardeshir J.

Abstract

In the analysis of problems of choice under uncertainty, many results depend on the investigator's ability to determine the signs of certain integrals. A recently derived method of doing this—christened the “covariance method†by Batra [2]—demonstrates that, in certain cases, recognition of the fact that the integrals involved are composed of covariance terms can provide a simple and elegant solution to the problem. This paper uses a simple portfolio model to demonstrate that these covariance terms can be exploited to obtain other useful results as well.

Suggested Citation

  • Dalal, Ardeshir J., 1983. "On the Use of a Covariance Function in a Portfolio Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 18(2), pages 223-227, June.
    • Handle: RePEc:cup:jfinqa:v:18:y:1983:i:02:p:223-227_01
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