The explicit derivation of the efficient portfolio frontier in the case of degeneracy and general singularity

DOI10.1016/S0377-2217(87)80153-4zbMath0625.90007OpenAlexW2074593166MaRDI QIDQ580154

Jianyong Qiao, Sumit K. Garg

Publication date: 1987

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0377-2217(87)80153-4

zbMATH Keywords

degenerate casecovariance-variance matrixefficient portfolio frontierparametrical quadratic programming

Mathematics Subject Classification ID

Related Items (5)

Characterization of efficient frontier for mean-variance model with a drawdown constraint ⋮ On analyzing and detecting multiple optima of portfolio optimization ⋮ A note on the kinks at the mean variance frontier ⋮ An EM algorithm for singular Gaussian mixture models ⋮ Selected bibliography on degeneracy

Cites Work

• Portfolio analysis -- an analytic derivation of the efficient portfolio frontier
• Large-Scale Portfolio Optimization
• Unnamed Item

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