The explicit derivation of the efficient portfolio frontier in the case of degeneracy and general singularity (Q580154)
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| Language | Label | Description | Also known as |
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| English | The explicit derivation of the efficient portfolio frontier in the case of degeneracy and general singularity |
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The explicit derivation of the efficient portfolio frontier in the case of degeneracy and general singularity (English)
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1987
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The efficient portfolio frontier is derived explicitly for cases in which short sales are not allowed and more than one variable vanishes in a point of investment returns (degenerate case). When the covariance- variance matrix of the problem is singular (positive semi-definite) of diagonal some properties are also derived.
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parametrical quadratic programming
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efficient portfolio frontier
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degenerate case
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covariance-variance matrix
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