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An iterative approach to ill-conditioned optimal portfolio selection
Gulliksson, Mårten; Mazur, Stepan - In: Computational economics 56 (2020) 4, pp. 773-794
Persistent link: https://www.econbiz.de/10012390467
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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