IDEAS home Printed from https://ideas.repec.org/a/wsi/ijtafx/v07y2004i01ns0219024904002281.html
   My bibliography  Save this article

Long-Short Portfolio Modeling: Critique And Extension

Author

Listed:
  • CLARENCE C. Y. KWAN

    (Michael G. DeGroote School of Business, McMaster University, Hamilton, Ontario L8S 4M4, Canada)

Abstract

This study offers a critique of a recentIJTAFarticle by Charpin and Lacaze that formulates and solves a long-short portfolio selection problem. This study not only addresses some analytical issues arising from their model formulation but also provides a revised version and some properties of the corresponding efficient portfolios. Further, the revised formulation is extended to accommodate other practical features of long-short investing. This study is intended to enhance the usefulness of long-short portfolio modeling in practice.

Suggested Citation

  • Clarence C. Y. Kwan, 2004. "Long-Short Portfolio Modeling: Critique And Extension," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 7(01), pages 1-18.
  • Handle: RePEc:wsi:ijtafx:v:07:y:2004:i:01:n:s0219024904002281
    DOI: 10.1142/S0219024904002281
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S0219024904002281
    Download Restriction: Access to full text is restricted to subscribers

    File URL: https://libkey.io/10.1142/S0219024904002281?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Simon Benninga, 2000. "Financial Modeling, 2nd Edition," MIT Press Books, The MIT Press, edition 2, volume 1, number 0262024829, April.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Cheng Few Lee & Yibing Chen & John Lee, 2020. "Alternative Methods to Derive Option Pricing Models: Review and Comparison," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 102, pages 3573-3617, World Scientific Publishing Co. Pte. Ltd..
    2. Francois-Éric Racicot & Raymond Théoret, 2005. "L'assurance de portefeuille: Simulations en Visual Basic de portefeuilles visant à reproduire les flux monétaires de stratégies d'options," RePAd Working Paper Series UQO-DSA-wp0332005, Département des sciences administratives, UQO.
    3. Hill John W & Kamma Sreenivas & Karam Yassir, 2008. "Valuing Complex Stock Options Containing Reload Features," Journal of Business Valuation and Economic Loss Analysis, De Gruyter, vol. 3(1), pages 1-44, October.
    4. Francois-Éric Racicot & Raymond Théoret, 2005. "De l'évaluation du risque de crédit," RePAd Working Paper Series UQO-DSA-wp0322005, Département des sciences administratives, UQO.
    5. Rifki Ismal, 2011. "Central bank Islamic monetary instruments: a theoretical approach," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 28(1), pages 51-67, March.
    6. Francois-Éric Racicot & Raymond Théoret, 2006. "La Value-at-Risk: Modèles de la VaR, simulations en Visual Basic (Excel) et autres mesures récentes du risque de marché," RePAd Working Paper Series UQO-DSA-wp022006, Département des sciences administratives, UQO.
    7. Hurley, W.J. & Brimberg, Jack, 2015. "A note on the sensitivity of the strategic asset allocation problem," Operations Research Perspectives, Elsevier, vol. 2(C), pages 133-136.
    8. Bick, Avi, 2004. "The mathematics of the portfolio frontier: a geometry-based approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(2), pages 337-361, May.
    9. World Bank, 2006. "Approaches to Private Participation in Water Services : A Toolkit," World Bank Publications - Books, The World Bank Group, number 6982.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:ijtafx:v:07:y:2004:i:01:n:s0219024904002281. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/ijtaf/ijtaf.shtml .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.