In this paper the efficient portfolio frontier is derived explicitly for cases in which short sales are not allowed and more than one variable vanishes in a point of investment returns (degenerate case). When the covariance-variance matrix of the problem is singular (positive semi-definite) or diago
✦ LIBER ✦
Portfolio analysis—an analytic derivation of the efficient portfolio frontier
✍ Scribed by J. Vörös
- Publisher
- Elsevier Science
- Year
- 1986
- Tongue
- English
- Weight
- 431 KB
- Volume
- 23
- Category
- Article
- ISSN
- 0377-2217
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