Portfolio Selection with a Rank-deficient Covariance Matrix
Year of publication: |
2021
|
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Authors: | Gulliksson, Mårten ; Oleynik, Anna ; Mazur, Stepan |
Publisher: |
Örebro : Örebro University School of Business |
Subject: | Mean–variance portfolio | Rank-deficient covariance matrix | Linear ill-posed problems | Second order damped dynamical systems |
Series: | Working Paper ; 12/2021 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 1767829442 [GVK] hdl:10419/244586 [Handle] RePEc:hhs:oruesi:2021_012 [RePEc] |
Classification: | C10 - Econometric and Statistical Methods: General. General ; C44 - Statistical Decision Theory; Operations Research |
Source: |
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An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection
Gulliksson, Mårten, (2019)
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Portfolio selection with a rank-deficient covariance matrix
Gulliksson, Mårten, (2021)
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Portfolio selection with a rank-deficient covariance matrix
Gulliksson, Mårten, (2024)
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Portfolio selection with a rank-deficient covariance matrix
Gulliksson, Mårten, (2021)
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Portfolio selection with a rank-deficient covariance matrix
Gulliksson, Mårten, (2024)
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An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection
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