Hostname: page-component-586b7cd67f-t8hqh Total loading time: 0 Render date: 2024-12-05T02:49:48.378Z Has data issue: false hasContentIssue false
  • English
  • Français

On the Use of a Covariance Function in a Portfolio Model

Published online by Cambridge University Press:  06 April 2009

Ardeshir J. Dalal
Get access Rights & Permissions [Opens in a new window]

Extract

In the analysis of problems of choice under uncertainty, many results depend on the investigator's ability to determine the signs of certain integrals. A recently derived method of doing this—christened the “covariance method” by Batra [2]—demonstrates that, in certain cases, recognition of the fact that the integrals involved are composed of covariance terms can provide a simple and elegant solution to the problem. This paper uses a simple portfolio model to demonstrate that these covariance terms can be exploited to obtain other useful results as well.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 18 , Issue 2 , June 1983 , pp. 223 - 227
Copyright
Copyright © School of Business Administration, University of Washington 1983

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

[1]Arrow, Kenneth J. “The Theory of Risk Aversion.” In Essays in the Theory of Risk-Bearing. Chicago, IL: Markham (1971).Google Scholar
[2]Batra, Raveendra N.The Pure Theory of International Trade under Uncertainty. New York: John Wiley & Sons, Inc. (1975).CrossRefGoogle Scholar
[3]Batra, Raveendra N., and Russell, William J.. “Gains from Trade under Uncertainty.” American Economic Review, Vol. 64 (12 1974), pp. 1040–1048.Google Scholar
[4]Blume, M., and Friend, I.. “The Asset Structure of Individual Portfolios and Some Implications for Utility Functions.” Journal of Finance, Vol. 30 (05 1975), pp. 585–603.CrossRefGoogle Scholar
[5]Chiang, A.Fundamental Methods of Mathematical Economics. New York: McGraw-Hill (1974).Google Scholar
[6]Ishii, Yasunori. “On the Theory of the Competitive Firm under Price Uncertainty: Note.” American Economic Review, Vol. 67 (09 1977), pp. 768–769.Google Scholar
[7]Litzenberger, R. “Discussion.” Journal of Finance, Vol. 30 (05 1975), pp. 624–629.Google Scholar