Jiang Chunfu, Dai Yonglong. Efficient Subset for Portfolio with Singular Covariance Matrix[J]. Chinese Journal of Applied Probability and Statistics, 2008, 24(5): 484-492.
Citation: Jiang Chunfu, Dai Yonglong. Efficient Subset for Portfolio with Singular Covariance Matrix[J]. Chinese Journal of Applied Probability and Statistics, 2008, 24(5): 484-492.

Efficient Subset for Portfolio with Singular Covariance Matrix

  • Szeg\"o proposed that efficient subset could occur in the optimal portfolio selection problem with singular covariance matrix. An equivalent definition of efficient subset is given based on the analytic solutions of efficient portfolio in this paper. Some necessary and sufficient conditions for existing efficient subset in the stock market and for determining whether a stock subset is efficient one or not are also derived from the equivalent definition.
  • loading

Catalog

    Turn off MathJax
    Article Contents

    /

    DownLoad:  Full-Size Img  PowerPoint
    Return
    Return