Chinese Journal of Management Science ›› 2002, Vol. ›› Issue (1): 26-30.
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CHEN Dian-fa1, LI En-bo2
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Abstract: 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.
Key words: portfolios,feasiblesets return, arbitrage
CLC Number:
C931
F224
CHEN Dian-fa, LI En-bo. Feasible Sets of Portfolios with Singular Covariance Matrix[J]. Chinese Journal of Management Science, 2002, (1): 26-30.
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