Analytic Solutions of Efficient Frontier and Efficient Portfolio with Singular Covariance Matrix
奇异协方差阵下有效前沿及有效组合的解析解

This paper is concerned with the portfolio selection model with singular covariance matrix by using the generalized inverse matrix. The sufficient and necessary condition for existing efficient portfolio is obtained, and also the analytic solutions of efficient portfolio and efficient frontier is derived, which generalize successfully the classic Markowitz model and are helpful to investigate portfolio efficient subset further.