Portfolio selection with a rank-deficient covariance matrix
Mårten Gulliksson, Anna Oleynik, Stepan Mazur
| Year of publication: |
2024
|
|---|---|
| Authors: | Gulliksson, Mårten ; Oleynik, Anna ; Mazur, Stepan |
| Subject: | Linear ill-posed problems | Mean-variance portfolio | Rank-deficient covariance matrix | Second order damped dynamical systems | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Schätztheorie | Estimation theory | Varianzanalyse | Analysis of variance | Mathematische Optimierung | Mathematical programming |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-023-10404-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014636734