The mean-variance model from the inverse of the variance-covariance matrix

Jordi Esteve Comas and Manuel Fernandez Lopez
Additional contact information
Manuel Fernandez Lopez: Universitat de Barcelona

No 271, Working Papers in Economics from Universitat de Barcelona. Espai de Recerca en Economia

Abstract: In 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).

JEL-codes: G11 G12 (search for similar items in EconPapers)
Pages: 0 pages
Date: 2012
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.ere.ub.es/dtreball/E12271.rdf/at_download/file
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to www.ere.ub.es:80 (A connection attempt failed because the connected party did not properly respond after a period of time, or established connection failed because connected host has failed to respond.)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bar:bedcje:2012271

Access Statistics for this paper

More papers in Working Papers in Economics from Universitat de Barcelona. Espai de Recerca en Economia Espai de Recerca en Economia, Facultat de Ciències Econòmiques. Tinent Coronel Valenzuela, Num 1-11 08034 Barcelona. Spain.. Contact information at EDIRC.
Bibliographic data for series maintained by Espai de Recerca en Economia ().