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

✍ Scribed by J. Vörös

Publisher
Elsevier Science
Year
1987
Tongue
English
Weight
516 KB
Volume
32
Category
Article
ISSN
0377-2217

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✦ Synopsis

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 diagonal some properties are also derived.

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✍ Stefan Bettner 📂 Article 📅 2007 🏛 Elsevier Science 🌐 English ⚖ 152 KB

Let K be a quadratic imaginary number field, f ∈ N and let O f be the order of conductor f in K. We consider the singular values of the Kleinian normalization ϕ of the Weierstrass σ -function belonging to an arbitrary proper ideal of O f . The factorization of these singular values goes back to K. R