On the Inverse of the Covariance Matrix in Portfolio Analysis
推导了投资组合分析中协方差矩阵逆的直接刻画，用回归系数和残差方差等简单构造表达最优资产持有和风险收益效率前沿斜率，对研究资产配置的学者有用。
The goal of this paper is the derivation and application of a direct characterization of the inverse of the covariance matrix central to portfolio analysis. Such a characterization, in terms of a few primitive constructs, provides the basis for new and illuminating expressions for key concepts as the optimal holding of a given risky asset and the slope of the risk‐return efficiency frontier faced by the individual investor. The building blocks of the inverse turn out to be the regression coefficients and residual variance obtained by regressing the asset's excess return on the set of excess returns for all other risky assets.