SU Mimi, YE Zhongxing. Optimal Mean-Variance Portfolio with Semi-Positive Variance-Covariance Matrix[J]. Chinese Journal of Applied Probability and Statistics, 2005, 21(3): 244-248.
Citation:
SU Mimi, YE Zhongxing. Optimal Mean-Variance Portfolio with Semi-Positive Variance-Covariance Matrix[J]. Chinese Journal of Applied Probability and Statistics, 2005, 21(3): 244-248.
SU Mimi, YE Zhongxing. Optimal Mean-Variance Portfolio with Semi-Positive Variance-Covariance Matrix[J]. Chinese Journal of Applied Probability and Statistics, 2005, 21(3): 244-248.
Citation:
SU Mimi, YE Zhongxing. Optimal Mean-Variance Portfolio with Semi-Positive Variance-Covariance Matrix[J]. Chinese Journal of Applied Probability and Statistics, 2005, 21(3): 244-248.
Optimal Mean-Variance Portfolio with Semi-Positive Variance-Covariance Matrix
An approach based on principal component analysis is proposed for solving the problem of optimal portfolio in the case with semi-positive variance-covariance matrix. Analytic solution is obtained. This result fills up the gap of the original Markowitz’s model.