Efficient subset of portfolio under degenerate mean-variance model

MaRDI QIDQ4904904zbMATH OpenFDO

Authors Chun-Fu Jiang, Hong-Yi Peng

Publication date 13 February 2013

zbMATH Keywords

portfoliosingular covariance matrixmean-variance spanningefficient subset

Mathematics Subject Classification ID

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

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