On the use of the Moore-Penrose generalized inverse in the portfolio optimization problem
Miyoung Lee, Daehwan Kim
| Year of publication: |
August 2017
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|---|---|
| Authors: | Lee, Miyoung ; Daehwan, Kim |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 22.2017, p. 259-267
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| Subject: | Portfolio optimization with singular covariance matrix | Moore-Penrose generalized inverse | Minimum norm | Principal component | Diversification | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Korrelation | Correlation | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2016.12.017 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011808176