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Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/33274
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dc.contributor.authorEsteve Comas, Jordi-
dc.contributor.authorFernández López, Manuel-
dc.date.accessioned2013-01-09T12:42:21Z-
dc.date.available2013-01-09T12:42:21Z-
dc.date.issued2012-
dc.identifier.issn1136-8365-
dc.identifier.urihttp://hdl.handle.net/2445/33274-
dc.description.abstractEn 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.abstractIn 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).-
dc.format.extent25 p.-
dc.format.mimetypeapplication/pdf-
dc.language.isoeng-
dc.publisherUniversitat de Barcelona. Facultat d'Economia i Empresa-
dc.relation.isformatofReproducció del document publicat a: http://www.ere.ub.es/dtreball/E12271.rdf/view-
dc.relation.ispartofDocuments de treball (Facultat d'Economia i Empresa. Espai de Recerca en Economia), 2012, E12/271-
dc.relation.ispartofseries[WP E-Eco12/271]-
dc.rightscc-by-nc-nd, (c) Esteve Comas et al., 2012-
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/-
dc.sourceUB Economics – Working Papers [ERE]-
dc.subject.classificationMicroeconomia-
dc.subject.classificationFinances-
dc.subject.classificationEconomia matemàtica-
dc.subject.classificationCapital social (Economia)-
dc.subject.classificationModels matemàtics-
dc.subject.classificationRisc (Economia)-
dc.subject.otherMicroeconomics-
dc.subject.otherFinance-
dc.subject.otherMathematical economics-
dc.subject.otherCapital stock-
dc.subject.otherMathematical models-
dc.subject.otherRisk-
dc.subject.otherSaving-
dc.titleThe mean-variance model from the inverse of the variance-covariance matrixeng
dc.typeinfo:eu-repo/semantics/workingPaper-
dc.date.updated2013-01-09T12:42:26Z-
dc.rights.accessRightsinfo:eu-repo/semantics/openAccess-
Appears in Collections:Documents de treball (Matemàtica Econòmica, Financera i Actuarial)
UB Economics – Working Papers [ERE]

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