Journal article
Optimal portfolio selection under institutional procedures for short selling
Abstract
This study presents and formally justifies a simple ranking approach for optimal portfolio selection under institutional procedures for short selling. It also provides economic insights of the explicit solution of the portfolio problem. The analysis is applicable to different treatments of the short-sale proceeds and any margin deposits. In contrast to previous approaches, it does not require assumptions that overstate short-sale benefits for …
Authors
Kwan CCY
Journal
Journal of Banking & Finance, Vol. 19, No. 5, pp. 871–889
Publisher
Elsevier
Publication Date
August 1995
DOI
10.1016/0378-4266(94)00083-f
ISSN
0378-4266