portfolio optimization in terms of justifiability short selling and some market practical constraints
نویسندگان
چکیده
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.
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عنوان ژورنال:
تحقیقات مالیجلد ۱۴، شماره ۲، صفحات ۱۱۷-۱۳۲
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