Open AccessOptimization of securities portfolio in prohibited transactions "short sale"
Author(s) -
S. I Kozlov,
N. E Konstantinov
Publication year - 2014
Publication title -
izvestiâ mgtu "mami"
Language(s) - English
Resource type - Journals
eISSN - 2949-1428
pISSN - 2074-0530
DOI - 10.17816/2074-0530-67309
Subject(s) - portfolio , impossibility , portfolio optimization , financial economics , asset (computer security) , quadratic programming , quadratic equation , replicating portfolio , actuarial science , business , econometrics , computer science , mathematical economics , economics , mathematics , mathematical optimization , law , computer security , geometry , political science
The problem of optimizing the structure of the securities portfolio at the impossibility of "short sales." Article analytic solution arises when this quadratic programming problem considering the non-negativity of variables for a portfolio containing three stocks and risk-free asset . Obtained in explicit form equation of the boundary of efficient portfolios , the composition of T- bet for a given portfolio risk-free asset . The results of calculations of efficient portfolios and their characteristics .