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Optimal portfolio selection without short sales under the full-information covariance structure: A pedagogic consideration

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  • Kwan, Clarence C. Y.
  • Yuan, Yufei

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  • 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.
    • Handle: RePEc:eee:jebusi:v:45:y:1993:i:1:p:91-98
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    Cited by:

    1. C.Y. Kwan, Clarence, 1999. "A note on market-neutral portfolio selection," Journal of Banking & Finance, Elsevier, vol. 23(5), pages 773-800, May.
    2. Al Janabi, Mazin A.M. & Ferrer, Román & Shahzad, Syed Jawad Hussain, 2019. "Liquidity-adjusted value-at-risk optimization of a multi-asset portfolio using a vine copula approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
    3. Al Janabi, Mazin A.M. & Arreola Hernandez, Jose & Berger, Theo & Nguyen, Duc Khuong, 2017. "Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios," European Journal of Operational Research, Elsevier, vol. 259(3), pages 1121-1131.
    4. 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.
    5. Mazin A.M. Al Janabi, 2021. "Is optimum always optimal? A revisit of the mean‐variance method under nonlinear measures of dependence and non‐normal liquidity constraints," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(3), pages 387-415, April.

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