Open AccessThe two-block covariance matrix and the CAPM
Author(s) -
David Disatnik,
Simon Benninga
Publication year - 2012
Publication title -
international journal of portfolio analysis and management
Language(s) - English
Resource type - Journals
eISSN - 2048-237X
pISSN - 2048-2361
DOI - 10.1504/ijpam.2012.046907
Subject(s) - covariance matrix , mathematics , capital asset pricing model , econometrics , statistics