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- Title
Short Selling and Efficient Sets.
- Authors
Alexander, Gordon J.
- Abstract
The effect of short selling on the composition and location of the efficient set has been analyzed in a variety of ways. However, the situation typically facing investors where the initial margin requirement is less than 100 percent and the riskfree interest rate that is paid on the short proceeds is less than the rate paid on initial margin has not previously been considered. The Elton-Gruber-Padberg algorithm (1976, 1978), subject to certain modifications, is shown here to be capable of identifying the efficient set under such conditions.
- Subjects
SHORT selling (Securities); EXPECTED returns; MATHEMATICAL models of investments; RISK assessment; MARGIN requirements; INVESTMENT policy; STANDARD deviations; EXPECTATION-maximization algorithms; EFFICIENT market theory; INVESTMENT analysis
- Publication
Journal of Finance (Wiley-Blackwell), 1993, Vol 48, Issue 4, p1497
- ISSN
0022-1082
- Publication type
Article
- DOI
10.1111/j.1540-6261.1993.tb04764.x