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A Note on a Property of the Inverse of a Bordered Matrix and Its Implication for the Theory of Portfolio Selection

Published online by Cambridge University Press:  19 October 2009

M. W. Jones-Lee
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Extract

Many important results in the Neoclassical theory of consumer choice are derived from properties of the inverse of the bordered Hessian of a consumer's utility function. It is therefore not surprising that this type of matrix also plays an important part in the theory of portfolio choice. The purpose of this note is to establish a simple property of the inverse of a bordered matrix and to point out its implication for portfolio theory.

Type
Communications
Information
Journal of Financial and Quantitative Analysis , Volume 9 , Issue 6 , December 1974 , pp. 1081 - 1087
Copyright
Copyright © School of Business Administration, University of Washington 1974

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References

REFERENCES

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