Questions tagged [eigenvalue]

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Analyzing the angle between vector of weights and vector of returns in mean-variance optimization

I am using the paper "A Sharper Angle on Optimization" by Golts and Jones (2009) as a basis for my (minor) masters thesis in mathematical finance. The paper focuses on the mean-variance analysis of ...
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Why the weight vector of 'global minimum variance' the 'eigenvector' with the minimum eigenvalue?

Question Why is it the case that the weight vector of the global minimum variance portfolio the eigenvector of the covariance matrix with the smallest eigenvalue? Question with more details I ...