文章基本信息

标题：The Requirement of a Positive Definite Covariance Matrix of Security Returns for Mean-Variance Portfolio Analysis: A Pedagogic Illustration
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作者：Kwan, Clarence C. Y.
期刊名称：Spreadsheets in Education (eJSiE)
印刷版ISSN：1448-6156
出版年度：2010
卷号：4
期号：1
页码：4
出版社：Bond University
摘要：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 in standard investment textbooks. Being unaware of the requirement could cause confusion for students over some strange portfolio results that are based on seemingly reasonable input parameters. This study considers the requirement both informally and analytically. Electronic spreadsheet tools for constrained optimization and basic matrix operations are utilized to illustrate the various concepts involved.
关键词：Mean-Variance Portfolio Analysis; Positive Definite Covariance Matrix; Excel Illustration