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
2010-01-01
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| Series: | Spreadsheets in Education |
| Online Access: | https://sie.scholasticahq.com/article/4577-the-requirement-of-a-positive-definite-covariance-matrix-of-security-returns-for-mean-variance-portfolio-analysis-a-pedagogic-illustration |