The explicit derivation of the efficient portfolio frontier in the case of degeneracy and general singularity

DOI10.1016/S0377-2217(87)80153-4zbMath0625.90007OpenAlexW2074593166MaRDI QIDQ580154

Jianyong Qiao, Sumit K. Garg

Publication date: 1987

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0377-2217(87)80153-4

zbMATH Keywords

degenerate casecovariance-variance matrixefficient portfolio frontierparametrical quadratic programming

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Quadratic programming (90C20) Sensitivity, stability, parametric optimization (90C31)

Related Items (5)

Characterization of efficient frontier for mean-variance model with a drawdown constraint ⋮ On analyzing and detecting multiple optima of portfolio optimization ⋮ A note on the kinks at the mean variance frontier ⋮ An EM algorithm for singular Gaussian mixture models ⋮ Selected bibliography on degeneracy

Cites Work

• Unnamed Item
• Portfolio analysis -- an analytic derivation of the efficient portfolio frontier
• Large-Scale Portfolio Optimization

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