On the use of the Moore–Penrose generalized inverse in the portfolio optimization problem
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DOI: 10.1016/j.frl.2016.12.017
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Cited by:
- Munish Kansal & Manpreet Kaur & Litika Rani & Lorentz Jäntschi, 2023. "A Cubic Class of Iterative Procedures for Finding the Generalized Inverses," Mathematics, MDPI, vol. 11(13), pages 1-18, July.
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More about this item
Keywords
Portfolio optimization with singular covariance matrix; Moore–Penrose generalized inverse; Minimum norm; Principal component; Diversification;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
- C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
Statistics
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