Analytic Solutions of Efficient Frontier and Efficient Portfolio with Singular Covariance Matrix

JIANG Chunfu;DAI Yonglong

Journal of Systems Science and Mathematical Sciences ›› 2008, Vol. 28 ›› Issue (9) : 1134-1147.

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Journal of Systems Science and Mathematical Sciences ›› 2008, Vol. 28 ›› Issue (9) : 1134-1147. DOI: 10.12341/jssms10169
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Analytic Solutions of Efficient Frontier and Efficient Portfolio with Singular Covariance Matrix

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{{article.zuoZheEn_L}}. {{article.title_en}}. Journal of Systems Science and Mathematical Sciences, 2008, 28(9): 1134-1147 https://doi.org/10.12341/jssms10169

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