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2006 | OriginalPaper | Chapter

Derivation of minimum-variance portfolio

Authors : Cheng-Few Lee, Alice C. Lee

Published in: Encyclopedia of Finance

Publisher: Springer US

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Excerpt

If there is a two security portfolio, its variance can be defined as:
https://static-content.springer.com/image/prt%3A978-0-387-26336-6%2F3/978-0-387-26336-6_81_Equ1_HTML.gif
(E1)
where r D and r E are the rate of return for security D and security E respectively; w D and w E are weight associated with security D and E respectively; σ D 2 and σ E 2 are variance of security D and E respectively; and Cov(r D , r E ) is the covariance between r D and r E . …

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previous chapter Capital budgeting decisions with different lives
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Metadata
Title
Derivation of minimum-variance portfolio
Authors
Cheng-Few Lee
Alice C. Lee
Copyright Year
2006
Publisher
Springer US
Book
Encyclopedia of Finance

Print ISBN: 978-0-387-26284-0

Electronic ISBN: 978-0-387-26336-6

Copyright Year: 2006

DOI
https://doi.org/10.1007/978-0-387-26336-6_81