Mean-variance portfolio regression
= Mean-variance portfolio regression
Projection onto the mean-variance portfolio $V^{-1}b$ leaves residual covariance $V-bb^T/(b^TV^{-1}b)$.
= Mean-variance portfolio regression
Projection onto the mean-variance portfolio $V^{-1}b$ leaves residual covariance $V-bb^T/(b^TV^{-1}b)$.