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  • Search: subject:"Rank-deficient covariance matrix"
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Subject
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Linear ill-posed problems 3 Rank-deficient covariance matrix 3 Second order damped dynamical systems 3 Analysis of variance 2 Correlation 2 Estimation theory 2 Korrelation 2 Mathematical programming 2 Mathematische Optimierung 2 Mean-variance portfolio 2 Portfolio selection 2 Portfolio-Management 2 Schätztheorie 2 Varianzanalyse 2 Mean–variance portfolio 1
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Online availability
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Free 3
Type of publication
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Book / Working Paper 2 Article 1
Type of publication (narrower categories)
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Working Paper 2 Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1
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English 3
Author
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Gulliksson, Mårten 3 Mazur, Stepan 3 Oleynik, Anna 3
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Computational economics 1 Working Paper 1 Working paper 1
Source
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ECONIS (ZBW) 2 EconStor 1
Showing 1 - 3 of 3
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Portfolio selection with a rank-deficient covariance matrix
Gulliksson, Mårten; Oleynik, Anna; Mazur, Stepan - In: Computational economics 63 (2024) 6, pp. 2247-2269
Persistent link: https://www.econbiz.de/10014636734
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Cover Image
Portfolio Selection with a Rank-deficient Covariance Matrix
Gulliksson, Mårten; Oleynik, Anna; Mazur, Stepan - 2021
In this paper, we consider optimal portfolio selection when the covariance matrix of the asset returns is rank-deficient. For this case, the original Markowitz' problem does not have a unique solution. The possible solutions belong to either two subspaces namely the range- or nullspace of the...
Persistent link: https://www.econbiz.de/10012654482
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Cover Image
Portfolio selection with a rank-deficient covariance matrix
Gulliksson, Mårten; Oleynik, Anna; Mazur, Stepan - 2021
Persistent link: https://www.econbiz.de/10012605415
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