Optimization of securities portfolio in prohibited transactions 'short sale'

Autor:	S. I Kozlov, N. E Konstantinov
Rok vydání:	2014
Předmět:	Computer Science::Computational Engineering Finance and Science Mathematics::Optimization and Control Statistics::Other Statistics
Zdroj:	Izvestiya MGTU MAMI. 8:9-17
ISSN:	2074-0530
DOI:	10.17816/2074-0530-67309
Popis:	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 .
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::fa395aa60a4907924e2a35debacd2a03 https://doi.org/10.17816/2074-0530-67309 Zobrazit plný text záznamu