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On the Use of a Covariance Function in a Portfolio Model

Published online by Cambridge University Press:  06 April 2009

Ardeshir J. Dalal
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Extract

In the analysis of problems of choice under uncertainty, many results depend on the investigator's ability to determine the signs of certain integrals. A recently derived method of doing this—christened the “covariance method” by Batra [2]—demonstrates that, in certain cases, recognition of the fact that the integrals involved are composed of covariance terms can provide a simple and elegant solution to the problem. This paper uses a simple portfolio model to demonstrate that these covariance terms can be exploited to obtain other useful results as well.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 18 , Issue 2 , June 1983 , pp. 223 - 227
Copyright
Copyright © School of Business Administration, University of Washington 1983

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References

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