奇异方差投资组合的可行边界

Feasible Sets of Portfolios with Singular Covariance Matrix

本文讨论当n个基本资产的收益矩阵奇异时 ,它们的投资组合的可行边界 ,得到了在不同情形下相应边界和边界组合的解析表达式。

This paper studies the feasible sets of the portfolios consisting of those assets that are of a singular return covariance matrix The shapes of various feasible boundaries are identified and the related minimal variance portfolios are given.