The Requirement of a Positive Definite Covariance Matrix of Security Returns for Mean-Variance Portfolio Analysis: A Pedagogic Illustration
This study considers, from a pedagogic perspective, a crucial requirement for the covariance matrix of security returns in mean-variance portfolio analysis. Although the requirement that the covariance matrix be positive definite is fundamental in modern finance, it has not received any attention...
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| Format: | Article |
| Language: | English |
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McMaster University
2010-07-01
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| Series: | Spreadsheets in Education |
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| Online Access: | http://epublications.bond.edu.au/ejsie/vol4/iss1/4 |