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

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Title:	The mean-variance model from the inverse of the variance-covariance matrix
Author:	Esteve Comas, Jordi; Fernández López, Manuel
Other authors:	Universitat de Barcelona
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.
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).
Subject(s):	-Microeconomía -Finances -Economia matemàtica -Capital social (Economia) -Models matemàtics -Risc (Economia) -Microeconomics -Finance -Mathematical economics -Capital stock -Mathematical models -Risk -Saving
Rights:	cc-by-nc-nd, (c) Esteve Comas et al., 2012 http://creativecommons.org/licenses/by-nc-nd/3.0/
Document type:	Working Paper
Published by:	Universitat de Barcelona. Facultat d'Economia i Empresa
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