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- Title
SOME PORTFOLIO ADJUSTMENT THEOREMS FOR THE CASE OF NON-NEGATIVITY CONSTRAINTS ON SECURITY HOLDINGS.
- Authors
JONES-LEE, M. W.
- Abstract
The article investigates portfolio adjustment in the presence of non-negativity constraints. After establishing an investor's preference function and expectations for return, the author develops a model where constraints on short-selling prevail for at least some securities in the portfolio. The impact on the portfolio of changes in the mean return and variance of constituent securities is discussed, as well as the effect of changes in covariances between securities. Impacts are described in terms of a security's proportion of the overall portfolio.
- Subjects
PORTFOLIO management (Investments); SECURITIES; INVESTMENT analysis; INVESTMENTS; RATE of return; ANALYSIS of variance
- Publication
Journal of Finance (Wiley-Blackwell), 1971, Vol 26, Issue 3, p763
- ISSN
0022-1082
- Publication type
Article
- DOI
10.1111/j.1540-6261.1971.tb01730.x