Shortage function and portfolio selection: On some special cases and extensions

The shortage function has recently been introduced in portfolio selection theory for measuring efficiency. In this paper we focuss on the case of shortselling. We show that, in such a case, the shortage function can be computed in closed form. Some issues concerning duality are also analyzed. We also analyze the case of a riskless asset.

MoreLess

Year of publication:	2014
Authors:	Briec, Walter ; Oms, Laurence ; Paget-Blanc, Eric
Published in:	Finance Research Letters. - Elsevier, ISSN 1544-6123. - Vol. 11.2014, 3, p. 295-302
Publisher:	Elsevier
Subject:	Shortage function \| Efficient frontier \| Shortselling \| Portfolio management \| Riskless asset

More details

Type of publication:	Article
Classification:	G11 - Portfolio Choice ; G10 - General Financial Markets. General ; G14 - Information and Market Efficiency; Event Studies ; G17 - Financial Forecasting
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010940029