SHORT SELLING AND EFFICIENT SETS

• 成果类型: Note
• 署名作者: ALEXANDER, GJ
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2329048
• 发表日期: 1993
• 页码: 1497-1506
• 关键词: OPTIMAL PORTFOLIO SELECTION; RISK

摘要

The effect of short selling on the composition and location of the efficient set has been analyzed in a variety of ways. However, the situation typically facing investors where the initial margin requirement is less than 100 percent and the riskfree interest rate that is paid on the short proceeds is less than the rate paid on initial margin has not previously been considered. The Elton-Gruber-Padberg algorithm (1976, 1978), subject to certain modifications, is shown here to be capable of identifying the efficient set under such conditions.