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Portfolio selection under institutional procedures for short selling: Normative and market-equilibrium considerations

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  • Kwan, Clarence C. Y.

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  • Kwan, Clarence C. Y., 1997. "Portfolio selection under institutional procedures for short selling: Normative and market-equilibrium considerations," Journal of Banking & Finance, Elsevier, vol. 21(3), pages 369-391, March.
    • Handle: RePEc:eee:jbfina:v:21:y:1997:i:3:p:369-391
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    1. Brennan, M. J., 1971. "Capital Market Equilibrium with Divergent Borrowing and Lending Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(5), pages 1197-1205, December.
    2. Mayshar, Joram, 1979. "Transaction Costs in a Model of Capital Market Equilibrium," Journal of Political Economy, University of Chicago Press, vol. 87(4), pages 673-700, August.
    3. Elton, Edwin J & Gruber, Martin J & Padberg, Manfred W, 1978. "Simple Criteria for Optimal Portfolio Selection: Tracing out the Efficient Frontier," Journal of Finance, American Finance Association, vol. 33(1), pages 296-302, March.
    4. Kwan, Clarence C. Y. & Yuan, Yufei, 1993. "Optimal portfolio selection without short sales under the full-information covariance structure: A pedagogic consideration," Journal of Economics and Business, Elsevier, vol. 45(1), pages 91-98, February.
    5. Sharpe, William F, 1991. "Capital Asset Prices with and without Negative Holdings," Journal of Finance, American Finance Association, vol. 46(2), pages 489-509, June.
    6. Diamond, Douglas W. & Verrecchia, Robert E., 1987. "Constraints on short-selling and asset price adjustment to private information," Journal of Financial Economics, Elsevier, vol. 18(2), pages 277-311, June.
    7. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
    8. Elton, Edwin J & Gruber, Martin J & Padberg, Manfred W, 1976. "Simple Criteria for Optimal Portfolio Selection," Journal of Finance, American Finance Association, vol. 31(5), pages 1341-1357, December.
    9. Brent, Averil & Morse, Dale & Stice, E. Kay, 1990. "Short Interest: Explanations and Tests," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(2), pages 273-289, June.
    10. Kwan, Clarence C. Y., 1995. "Optimal portfolio selection under institutional procedures for short selling," Journal of Banking & Finance, Elsevier, vol. 19(5), pages 871-889, August.
    11. Eun, Cheol S & Janakiramanan, S, 1986. "A Model of International Asset Pricing with a Constraint on the Foreign Equity Ownership," Journal of Finance, American Finance Association, vol. 41(4), pages 897-914, September.
    12. Mayshar, Joram, 1981. "Transaction Costs and the Pricing of Assets," Journal of Finance, American Finance Association, vol. 36(3), pages 583-597, June.
    13. Brennan, M. J., 1975. "The Optimal Number of Securities in a Risky Asset Portfolio When There Are Fixed Costs of Transacting: Theory and Some Empirical Results," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 10(3), pages 483-496, September.
    14. Alexander, Gordon J, 1993. "Short Selling and Efficient Sets," Journal of Finance, American Finance Association, vol. 48(4), pages 1497-1506, September.
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    Cited by:

    1. Blau, Benjamin M. & Wade, Chip, 2012. "Informed or speculative: Short selling analyst recommendations," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 14-25.
    2. Yu, Jing-Rung & Lee, Wen-Yi, 2011. "Portfolio rebalancing model using multiple criteria," European Journal of Operational Research, Elsevier, vol. 209(2), pages 166-175, March.
    3. Levy, Moshe & Ritov, Yaacov, 2001. "Portfolio Optimization with Many Assets: The Importance of Short-Selling," University of California at Los Angeles, Anderson Graduate School of Management qt41x4t67m, Anderson Graduate School of Management, UCLA.
    4. Jing-Rung Yu & Wan-Jiun Paul Chiou & Jian-Hong Yang, 2017. "Diversification benefits of risk portfolio models: a case of Taiwan’s stock market," Review of Quantitative Finance and Accounting, Springer, vol. 48(2), pages 467-502, February.
    5. Hasan, M. Emrul & Klein, Peter, 2022. "The capital gain lock-in effect and seasoned equity offerings," Journal of Banking & Finance, Elsevier, vol. 138(C).
    6. C.Y. Kwan, Clarence, 1999. "A note on market-neutral portfolio selection," Journal of Banking & Finance, Elsevier, vol. 23(5), pages 773-800, May.
    7. Tahereh Khodamoradi & Maziar Salahi & Ali Reza Najafi, 2021. "Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(1), pages 197-214, June.
    8. Vrinda Dhingra & Shiv Kumar Gupta & Amita Sharma, 2023. "Norm constrained minimum variance portfolios with short selling," Computational Management Science, Springer, vol. 20(1), pages 1-35, December.
    9. Klein, Peter, 1998. "The capital gain lock-in effect with short sales constraints," Journal of Banking & Finance, Elsevier, vol. 22(12), pages 1533-1558, December.

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