Efficient subset for portfolio with singular covariance matrix

MaRDI QIDQ5320120zbMATH OpenFDO

Authors Chun-Fu Jiang, Yonglong Dai

Publication date 22 July 2009

zbMATH Keywords

portfoliosingular covariance matrixefficient subset

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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