On the inverse of the covariance matrix in portfolio analysis

Journal of Finance

Volumn 53, Issue 5, 1998, Pages 1821-1827

  Stevens, Guy V G ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0040350325     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/0022-1082.00074     Document Type: Article

References (11)

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3. Copeland, Thomas E., and J. Fred Weston, 1983, Financial Theory and Corporate Policy (Addison Wesley, Massachusetts).
4. Elton, Edwin J., and Martin J. Gruber, 1987, Modern Portfolio Theory and Investment Analysis (Wiley, New York).
5. Johnston, J., 1972, Econometric Methods (McGraw-Hill, New York).
6. Judge, George G., W.E. Griffiths, R. Carter Hill, Helmut Lutkepohl, and Tsoung-Chao Lee, 1985, The Theory and Practice of Econometrics (Wiley, New York).
7. Mossin, Jan, 1973, Theory of Financial Markets (Prentice-Hall, Englewood Cliffs, N.J.).
8. Sercu, Piet, 1980, A generalization of the international asset pricing model, Finance: Revue de l'Association Francaise de Finance 1, 91-135.
9. Stevens, Guy V. G., 1997, On the inverse of the covariance matrix in portfolio analysis, International Finance Discussion Paper #587, Board of Governors of the Federal Reserve System.
10. Theil, Henri, 1971, Principles of Econometrics (Wiley, New York).
11. Tobin, James, 1958, Liquidity preference as behavior towards risk, The Review of Economic Studies 25, 65-86.