Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate

Autor:	Maziar Salahi, Tahereh Khodamoradi, Ali Reza Najafi
Rok vydání:	2020
Předmět:	Index (economics) media_common.quotation_subject Investment (macroeconomics) Term (time) Risk neutral Interest rate Economics Econometrics Portfolio Portfolio optimization General Economics Econometrics and Finance Finance Stock (geology) media_common
Zdroj:	Decisions in Economics and Finance. 44:197-214
ISSN:	1129-6569 1593-8883
Popis:	Short selling strategy leads to a portfolio with significantly better risk-return structure compared to the standard approach. Moreover, investors can use risk-neutral interest rate to increase the return of the portfolio. In this paper, we study the cardinality-constrained mean–variance portfolio optimization model with and without short selling and risk-neutral interest rate. First, to avoid negative investment in stocks with no short selling position, the non-negativeness of the product of each stock’s return to the proportion of investment on it is added to the model as a constraint. Then, we further present an improved model, where instead of determining the term of the short rebate according to the proportion of the total funds invested, it is determined according to the return. Finally, all models are compared using the data set of the S&P 500 index, Communication Service.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::27c07a142b27d7b377350a20ccdda430 https://doi.org/10.1007/s10203-020-00293-9 Zobrazit plný text záznamu Full text from SpringerLink