Can Matlab find the inverse of a singular matrix in Markowitz portfolio application?

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Clara Lovato
Clara Lovato il 13 Ott 2015
How does Matlab solve the inverse matrix of a singular matrix in the Markowitz portfolio application? Is there any internal regularization (for example pseudo-inverse matrix...)? Using the function 'Portfolio', I can get all the output (portfolio weights, efficient frontiers...) even if the variance/covariance matrix (used as input of the function) is singular. How could be possible? Thank you.

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