Hostname: page-component-745bb68f8f-cphqk Total loading time: 0 Render date: 2025-02-04T21:13:22.727Z Has data issue: false hasContentIssue false
  • English
  • Français

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
Get access Rights & Permissions [Opens in a new window]

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

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

[1]Allen, R.G.D.Mathematical Economics. London: Macmillan, 1963.Google Scholar
2Barten, A.; Kloek, T.; and Lempers, F.B.. “A Note on a Class of Utility and Production Functions Yielding Everywhere Differentiable Demand Functions.” Review of Economic Studies, January 1969, pp. 109–111.CrossRefGoogle Scholar
[3]Hicks, J.R.Value and Capital. London: Oxford University Press, 1939.Google Scholar
[4]Jones-Lee, M.W. “Some Portfolio Adjustment Theorems for the Case of Non-Negativity Constraints on Security Holdings.” Journal of Finance, June 1971, pp. 763–775.Google Scholar
[5]Merton, R.C. “An Analytic Derivation of the Efficient Portfolio Frontier.” Journal of Financial and Quantitative Analysis, September 1972, pp. 1851–1872.CrossRefGoogle Scholar
[6]Mossin, J. “Optimal Multiperiod Portfolio Policies.” Journal of Business, April 1968, pp. 215–229.CrossRefGoogle Scholar
[7]Royama, S., and Hamada, K.. “Substitution and Complementarity in the Choice of Risky Assets.” In Risk Aversion and Portfolio Choice, edited by Hester, D.D. and Tobin, J.. New York: Wiley, 1967.Google Scholar