The study of mean-variance model for portfolio investmentunder singular definite covariance matrix
Liu Zheng-chun · Journal of Zhejiang University of Technology · 2004
When the covariance matrix used to measure the risk of investment is singular, by using the linear relationship of return rate, this paper deals with the mean-variance model of portfolio investment when short selling being allowed, and it gives calculating method for optimal investment coefficient of proportionality as well as efficient boundary.