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Duality for portfolio optimization with short sales

✍ Scribed by Gert Wanka; Lars Göhler

Publisher
Springer
Year
2001
Tongue
English
Weight
167 KB
Volume
53
Category
Article
ISSN
0340-9422

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📜 SIMILAR VOLUMES

Reducing estimation risk in optimal port
Reducing estimation risk in optimal portfolio selection when short sales are allowed
✍ Gordon J. Alexander; Alexandre M. Baptista; Shu Yan 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 402 KB

## Abstract The issue of estimation risk is of particular interest to the decision‐making processes of portfolio managers who use long–short investment strategies. Accordingly, our paper explores the question of whether a VaR constraint reduces estimation risk when short sales are allowed. We find