Optimal portfolio choice in the singular case

DOI10.1080/00207728308926510zbMath0511.90014OpenAlexW2075746851MaRDI QIDQ4750358

Jati K. Sengupta

Publication date: 1983

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207728308926510

zbMATH Keywords

mean-variance analysisalternative solutionssingularity in the variance-covariance matrixstatic portfolio model

Mathematics Subject Classification ID

Related Items (1)

A dynamic view of the portfolio efficiency frontier

Cites Work

• Selecting an optimal solution in stochastic linear programming
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