Article ID Journal Published Year Pages File Type
5069681 Finance Research Letters 2013 8 Pages PDF
Abstract
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.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Shortage function and portfolio selection: On some special cases and extensions
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