Optimal algorithms and intuitive explanations for Markowitz's portfolio selection model and Sharpe's ratio with no short-selling

被引：5

作者：

Shi NingZhong ^{[1
,2
]}

Lai Min ^{[3
]}

Zheng ShuRong ^{[1
,2
]}

Zhang BaoXue ^{[1
,2
]}

机构：

[1] NE Normal Univ, Sch Math & Stat, Changchun 130024, Peoples R China

[2] NE Normal Univ, Key Lab Appl Stat MOE, Changchun 130024, Peoples R China

[3] Jilin Univ, Sch Math, Changchun 130012, Peoples R China

来源：

SCIENCE IN CHINA SERIES A-MATHEMATICS | 2008年 / 51卷 / 11期

基金：

中国国家自然科学基金;

关键词：

portfolio analysis; Sharpe's ratio; no short-selling;

D O I：

10.1007/s11425-008-0080-5

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Most of the previous researches about portfolio analysis focus on short-selling. In fact, no short-selling is also important because short-selling is not allowed in stock markets of some countries. This paper gives the sufficient and necessary conditions and proposes an optimal algorithm for Markowitz's mean-variance models and Sharpe's ratio with no short-selling. The optimal algorithm makes it easier to obtain the efficient frontiers with no short-selling.

引用

页码：2033 / 2042

页数：10

共 12 条

[1] Optimal algorithms and intuitive explanations for Markowitz’s portfolio selection model and Sharpe’s ratio with no short-selling
NingZhong Shi
Min Lai
ShuRong Zheng
BaoXue Zhang
[J]. Science in China Series A: Mathematics, 2008, 51
[2] Optimal algorithms and intuitive explanations for Markowitz's portfolio selection model and Sharpe's ratio with no short-selling
SHI NingZhong1
[J]. Science China Mathematics, 2008, (11) : 2033 - 2042
[3] Optimal portfolio selection under minimax criterion with short-selling
Sun, Chunyan
Zhang, Minhong
[J]. 2017 29TH CHINESE CONTROL AND DECISION CONFERENCE (CCDC), 2017, : 4538 - 4542
[4] Extension and Reconvexification of Markowitz's Optimal Portfolio Selection Model
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[J]. 28TH INTERNATIONAL CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS 2010, PTS I AND II, 2010, : 652 - 657
[5] An extension of sharpe's single-index model:: portfolio selection with expert betas
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[7] CONSTRUCTION OF OPTIMAL PORTFOLIO USING SHARPE'S SINGLE INDEX MODEL - AN EMPIRICAL STUDY ON NIFTY METAL INDEX
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[J]. JIMS8M-THE JOURNAL OF INDIAN MANAGEMENT & STRATEGY, 2018, 23 (04) : 4 - 8
[8] Financing method for real estate and infrastructure development using Markowitz's portfolio selection model and the Monte Carlo simulation
Lee, Chijoo
[J]. ENGINEERING CONSTRUCTION AND ARCHITECTURAL MANAGEMENT, 2019, 26 (09) : 2008 - 2022
[9] Approximating the Solution of Stochastic Optimal Control Problems and the Merton's Portfolio Selection Model
Kafash, Behzad
[J]. COMPUTATIONAL ECONOMICS, 2019, 54 (02) : 763 - 782
[10] Approximating the Solution of Stochastic Optimal Control Problems and the Merton’s Portfolio Selection Model
Behzad Kafash
[J]. Computational Economics, 2019, 54 : 763 - 782

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