Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate

T Khodamoradi, M Salahi, AR Najafi - Decisions in Economics and …, 2021 - Springer
Short selling strategy leads to a portfolio with significantly better risk-return structure
compared to the standard approach. Moreover, investors can use risk-neutral interest rate to …

On the optimal selection of portfolios under limited diversification

JK Sankaran, AA Patil - Journal of banking & Finance, 1999 - Elsevier
We address the problem of selecting portfolios which maximize the ratio of the average
excess return to the standard deviation, among all those portfolios which comprise at most a …

Portfolio selection under institutional procedures for short selling: Normative and market-equilibrium considerations

CCY Kwan - Journal of Banking & Finance, 1997 - Elsevier
In view of the acceptance of short selling of stocks as an investment tool in the portfolio
context by a growing number of institutional investors in recent years, the present study …

Portfolio analysis using spreadsheet tools

CCY Kwan - Journal of Applied Finance, 2001 - papers.ssrn.com
This paper uses spreadsheet tools to solve portfolio selection problems numerically. Without
the encumbrance of any algorithmic details and formal programming requirements, the …

A note on market-neutral portfolio selection

CCY Kwan - Journal of Banking & Finance, 1999 - Elsevier
Long–short equity strategies allow investors to benefit potentially from both undervalued and
overvalued securities. The present study develops a normative portfolio model under the …

[BOOK][B] Contributions to the theory of Kelly betting with applications to Stock trading: A control-theoretic approach

CH Hsieh - 2019 - search.proquest.com
Kelly Betting is a prescription for optimal resource allocation among a sequence of gambles
which are typically repeated in an independent and identically distributed manner. Within …

Long-short portfolio modeling: critique and extension

CCY Kwan - International Journal of Theoretical and Applied …, 2004 - World Scientific
This study offers a critique of a recent IJTAF article by Charpin and Lacaze that formulates
and solves a long-short portfolio selection problem. This study not only addresses some …

Margins on short sales and equilibrium price indeterminacy

C Ma, J Hu, Y Xu - Journal of Mathematical Economics, 2018 - Elsevier
This paper studies the price and trading impact of margin rules for short selling within the
context of Markowitz (1952). Our analysis is based on a newly obtained analytic solution for …

[PDF][PDF] Tahereh Khodamoradi, Maziar Salahi &

AR Najafi - researchgate.net
Short selling strategy leads to a portfolio with significantly better risk-return structure
compared to the standard approach. Moreover, investors can use risk-neutral interest rate to …

Algebraic Analysis of Optimal Investment Portfolios

M Tarrazo - Advances in Investment Analysis and Portfolio …, 2010 - airitilibrary.com
The motivation for this study was to unmask flaws in portfolios allowing for short sales. By
inspecting determinants, eigenvalues, condition numbers, norms and convergence rates, we …