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

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RECERCAT Home > Universitat de Barcelona > Matemàtica Econòmica, Financera i Actuarial > Documents de treball (Matemàtica Econòmica, Financera i Actuarial) > View document

To access the full text documents, please follow this link: http://hdl.handle.net/2445/33274

dc.contributor	Universitat de Barcelona
dc.contributor.author	Esteve Comas, Jordi
dc.contributor.author	Fernández López, Manuel
dc.date	2013-01-09T12:42:21Z
dc.date	2013-01-09T12:42:21Z
dc.date	2012
dc.date	2013-01-09T12:42:26Z
dc.identifier.citation	1136-8365
dc.identifier.uri	http://hdl.handle.net/2445/33274
dc.format	25 p.
dc.format	application/pdf
dc.language.iso	eng
dc.publisher	Universitat de Barcelona. Facultat d'Economia i Empresa
dc.relation	Reproducció del document publicat a: http://www.ere.ub.es/dtreball/E12271.rdf/view
dc.relation	Documents de treball (Facultat d'Economia i Empresa. Espai de Recerca en Economia), 2012, E12/271
dc.relation	[WP E-Eco12/271]
dc.rights	cc-by-nc-nd, (c) Esteve Comas et al., 2012
dc.rights	info:eu-repo/semantics/openAccess
dc.rights	http://creativecommons.org/licenses/by-nc-nd/3.0/
dc.subject	Microeconomía
dc.subject	Finances
dc.subject	Economia matemàtica
dc.subject	Capital social (Economia)
dc.subject	Models matemàtics
dc.subject	Risc (Economia)
dc.subject	Microeconomics
dc.subject	Finance
dc.subject	Mathematical economics
dc.subject	Capital stock
dc.subject	Mathematical models
dc.subject	Risk
dc.subject	Saving
dc.title	The mean-variance model from the inverse of the variance-covariance matrix
dc.type	info:eu-repo/semantics/workingPaper
dc.description.abstract	En este artículo, a partir de la inversa de la matriz de varianzas y covarianzas se obtiene el modelo Esperanza-Varianza de Markowitz siguiendo un camino más corto y matemáticamente riguroso. También se obtiene la ecuación de equilibrio del CAPM de Sharpe.
dc.description.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 Sharpe’s capital asset pricing model (CAPM).

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