LONG-SHORT PORTFOLIO MODELING: CRITIQUE AND EXTENSION Journal Articles

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. This study is intended to enhance the usefulness of long-short portfolio modeling in practice.

authors

• Kwan, Clarence C Y

status

• published 

publication date

• February 2004

has subject area

• 01 Mathematical Sciences (FoR)
• 15 Commerce, Management, Tourism and Services (FoR)
• Finance (Science Metrix)

published in

• International Journal of Theoretical & Applied Finance  Journal

Digital Object Identifier (DOI)

• 10.1142/s0219024904002281

start page

• 1

end page

• 18

volume

• 07

issue

• 01