Portfolio selection with a rank-deficient covariance matrix
Year of publication: |
2024
|
---|---|
Authors: | Gulliksson, Mårten ; Oleynik, Anna ; Mazur, Stepan |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 63.2024, 6, p. 2247-2269
|
Subject: | Linear ill-posed problems | Mean-variance portfolio | Rank-deficient covariance matrix | Second order damped dynamical systems | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Korrelation | Correlation | Varianzanalyse | Analysis of variance | Schätztheorie | Estimation theory |
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