• 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 ...