Efficient subset of portfolio under degenerate mean-variance model

zbMATH Open1258.91198MaRDI QIDQ4904904FDOQ4904904

Authors: Chun-Fu Jiang, Hong-Yi Peng 

Publication date: 13 February 2013

Recommendations

• Efficient subset for portfolio with singular covariance matrix
• scientific article; zbMATH DE number 6177832
• scientific article; zbMATH DE number 1810272
• The explicit derivation of the efficient portfolio frontier in the case of degeneracy and general singularity
• Analytic solutions of an efficient frontier and an efficient portfolio with singular covariance matrix

zbMATH Keywords

portfoliosingular covariance matrixmean-variance spanningefficient subset

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Cited In (7)

• Composition of an efficient portfolio in the Bielecki and Pliska market model
• Efficient subset for portfolio with singular covariance matrix
• The explicit derivation of the efficient portfolio frontier in the case of degeneracy and general singularity
• Title not available (Why is that?)
• Title not available (Why is that?)
• A condition for asset redundancy in the mean-variance model of portfolio investment
• Title not available (Why is that?)

This page was built for publication: Efficient subset of portfolio under degenerate mean-variance model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4904904)