Roll, Richard and Ross, Stephen A. (1977) Comments on qualitative results for investment proportions. Journal of Financial Economics, 5 (2). pp. 265-268. ISSN 0304-405X. doi:10.1016/0304-405X(77)90023-X. https://resolver.caltech.edu/CaltechAUTHORS:20190430-085620852
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Abstract
Some mean/variance efficient portfolios will have positive investments in all individual assets when covariances satisfy the conditions given here. These conditions are more useful empirically than qualitative results that depend on the inverse covariance matrix. The prospect appears dim for general and useful qualitative results.
| Item Type: | Article | ||||||
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| Additional Information: | © 1977 Published by Elsevier B.V. The authors wish to thank the caribou who contributed unselfishly to a pot roast served at the University of British Columbia Faculty Club in July, 1977. | ||||||
| Issue or Number: | 2 | ||||||
| DOI: | 10.1016/0304-405X(77)90023-X | ||||||
| Record Number: | CaltechAUTHORS:20190430-085620852 | ||||||
| Persistent URL: | https://resolver.caltech.edu/CaltechAUTHORS:20190430-085620852 | ||||||
| Official Citation: | Richard Roll, Stephen A. Ross, Comments on qualitative results for investment proportions, Journal of Financial Economics, Volume 5, Issue 2, 1977, Pages 265-268, ISSN 0304-405X, https://doi.org/10.1016/0304-405X(77)90023-X. (http://www.sciencedirect.com/science/article/pii/0304405X7790023X) | ||||||
| Usage Policy: | No commercial reproduction, distribution, display or performance rights in this work are provided. | ||||||
| ID Code: | 95114 | ||||||
| Collection: | CaltechAUTHORS | ||||||
| Deposited By: | Tony Diaz | ||||||
| Deposited On: | 30 Apr 2019 17:38 | ||||||
| Last Modified: | 16 Nov 2021 17:10 |
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