Journal article
LONG-SHORT PORTFOLIO MODELING: CRITIQUE AND EXTENSION
Abstract
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 analytical issues arising from their model formulation but also provides a revised version and some properties of the corresponding efficient portfolios. Further, the revised formulation is extended to accommodate other practical features of long-short investing. …
Authors
KWAN CCY
Journal
International Journal of Theoretical and Applied Finance, Vol. 7, No. 01, pp. 1–18
Publisher
World Scientific Publishing
Publication Date
February 2004
DOI
10.1142/s0219024904002281
ISSN
0219-0249