Browsing Bergen Open Research Archive by Author "Mazur, Stepan"
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Portfolio Selection with a Rank-Deficient Covariance Matrix
Gulliksson, Mårten; Oleynik, Anna; Mazur, Stepan (Journal article; Peer reviewed, 2024)In this paper, we consider optimal portfolio selection when the covariance matrix of the asset returns is rank-deficient. For this case, the original Markowitz’ problem does not have a unique solution. The possible solutions ...