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Chinese Journal of Management Science ›› 2002, Vol. ›› Issue (2): 12-14.

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The Properties of Portfolio’s Covariance Matrix and The Optimal Portfolio Selection

XIONG He-ping   

  1. Business School, Wuhan University, Wuhan 430072, China
  • Received:2001-03-09 Revised:2001-10-12 Online:2002-04-28 Published:2012-03-06

Abstract: This paper studies the properties of portfolio’s covariance matrix.We obtained a sufficient condition for a portfolio’s covariance matrix to be positive.Meanwhile,we discussed the optimal portfolio selection under the covariance matrix being not positive definite.We concluded that the covariance matrix is nonpositive definite, there is either arbitrage opportunity or efficient subset.

Key words: portfolio, covariance, efficient subset

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