Ameliorable Model for Portfolio Investment Under Non-Positive Definite Covariance Matrix
Li Yan · Journal of Gansu Lianhe University · 2011
For more comprehensive studying portfolio investment model,on the basis of analysing paper[1],an ameliorable method for portfolio investment model after non-positive definite covariance matrix is presented,which used quadric form and symmetrical matrix in the linear algebra.The research has some reference worthiness for optimal investment proportional coefficient.