12.9 Further Reading: Portfolio Theory with Matrix Algebra

Portfolio theory using matrix algebra is discussed in advanced textbooks on asset pricing and portfolio theory. Good treatments are given in (Ingersoll 1987), (Campbell, Lo, and MacKinlay 1997), and (Cochrane 2008). A nice review of portfolio theory with matrix algebra is given in (Constantinides and Malliaris 1995). In R, mean-variance optimized portfolios can be computed using the packages fPortfolio, PARMA, PortfolioAnalytics, and stockPortfolio.


Campbell, J. Y., A. W. Lo, and A. C. MacKinlay. 1997. The Econometrics of Financial Markets. Priceton, New Jersey: Princeton University Press.

Cochrane, J. 2008. Asset Pricing. Second Edition.

Constantinides, G. M, and A. G. Malliaris. 1995. Chapter 1 Portfolio Theory. Handbooks in Operations Research and Management Science. Vol. 9.

Ingersoll, J. 1987. Theory of Financial Decision Making. Totowa, N.J.: Rowman & Littlefield.