Portfolio Optimization in terms of Justifiability Short Selling and Some Market Practical Constraints
Abstract:
Short-selling prohibition has been one of the primary assumptions of Markowitz mean-variance model. Solving Markowitz quadratic model creates investment efficient frontier by considering only two return and budget constraints. In order to develop a more realistic portfolio selection model، in this paper، a new mathematical model is developed to allow short-selling under some practical constraints. Non-linear model offered is maped by using solved standard tools and constrained efficient frontier with using from 15 shares price information.
Keywords:
Language:
Persian
Published:
Financial Research, Volume:14 Issue: 34, 2013
Pages:
117 to 132
https://www.magiran.com/p1134805