Portfolio Selection Theory with Different Interest Rates for Borrowing and Leading | Semantic Scholar (2024)

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@article{Zhang2004PortfolioST, title={Portfolio Selection Theory with Different Interest Rates for Borrowing and Leading}, author={Shunming Zhang and Shouyang Wang and Xiaotie Deng}, journal={Journal of Global Optimization}, year={2004}, volume={28}, pages={67-95}, url={https://api.semanticscholar.org/CorpusID:44732106}}
  • Shunming Zhang, Shouyang Wang, Xiaotie Deng
  • Published in Journal of Global… 2004
  • Economics, Mathematics

This paper considers the portfolio selection problem with different interest rates for borrowing and leading. The portfolio frontier is described under the general condition that the riskless…

13 Citations

Highly Influential Citations

1

Background Citations

4

Methods Citations

1

Topic

Portfolio Frontiers (opens in a new tab)

13 Citations

Optimal Portfolio of Liability and Risky Assets under Safety-First Rule
    Yuanyao DingHui-Hsin Liu

    Business, Economics

    2011 Fourth International Conference on Business…

  • 2011

In this paper, we set up a new safety-first model including risk less borrowing and discuss the conditions for existence of optimal risk less borrowing behavior. We also provide the optimal…

  • Highly Influenced
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Fuzzy Portfolio Selection Problem with Different Borrowing and Lending Rates
    Wei ChenYiping YangHui Ma

    Business, Economics

  • 2011

As we know, borrowing and lending risk-free assets arise extensively in the theory and practice of finance. However, little study has ever investigated them in fuzzy portfolio problem. In this paper,…

  • 10
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Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate
    T. KhodamoradiM. SalahiA. Najafi

    Mathematics, Business

    Decisions in Economics and Finance

  • 2020

The cardinality-constrained mean–variance portfolio optimization model with and without short selling and risk-neutral interest rate is studied and an improved model is presented, where instead of determining the term of the short rebate according to the proportion of the total funds invested, it is determinedaccording to the return.

  • 6
A Note on CCMV Portfolio Optimization Model with Short Selling and Risk-neutral Interest Rate
    T. KhodamoradiM. SalahiA. Najafi

    Economics, Mathematics

  • 2020

An improved variant using absolute returns instead of the returns to include short selling in the model is presented and some numerical results are provided using the data set of the S&P 500 index, Information Technology, and the MIBTEL index in terms of returns and Sharpe ratios.

The Fundamental Theorem of Asset Pricing Under Proportional Transaction Costs
    Alet Roux

    Economics

  • 2007

We extend the fundamental theorem of asset pricing to a model where the risky stock is subject to proportional transaction costs in the form of bid-ask spreads and the bank account has different…

EFFICIENT SUBSET OF PORTFOLIO UNDER DEGENERATE MEAN-VARIANCE MODEL
    Chunfu JiangHong-Yi Peng

    Mathematics, Business

  • 2011

The purpose of this paper is to discuss the problem how to check redundant assets for a mean-variance optimizing investor when the covariance matrix is the case of degeneracy. We propose a new…

The efficient frontier of the minimum-variance portfolio selection problems
    Marius RădulescuSorin RadulescuC. RădulescuGheorghiță Zbăganu

    Mathematics, Business

  • 2008

In the paper are defined the notions of efficient frontier set and efficient frontier function of a parametric optimization problem. We define four min imum variance portfolio selection problems: two…

  • 3
The optimal portfolios based on a modified safety-first rule with risk-free saving
    Yuanyao DingZudi Lu

    Economics, Business

  • 2015

How to manage the social security trust funds is a topic of wide interests both academically and professionally. In the setting of portfolio selection with social security funds investment, we…

Norm constrained minimum variance portfolios with short selling
    Vrinda DhingraShivajee GuptaAmita Sharma

    Business, Mathematics

    Computational Management Science

  • 2023

This study incorporates the short-rebate gain in the minimum variance model by analyzing several constraints that aptly consider the different practical settings of a short sale transaction by imposing bounds on 1- and 2-norm that respectively generate sparse and diversified portfolios.

  • 4
Removing the necessity of simplifications in large‐scale portfolio selection and implications to Chinese portfolio theory and management
    Y. QiXiaofeng PengM. Li

    Economics, Business

  • 2010

It is argued that simplifications of portfolio selection may no longer be necessary, based on computational advancements of portfolio theory and powerful computers, and some speedy results support removing the simplification.

  • 1

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13 References

Hedging Contingent Claims with Constrained Portfolios
    Jakša CvitanićI. Karatzas

    Economics, Mathematics

  • 1993

We employ a stochastic control approach to study the question of hedging contingent claims by portfolios constrained to take values in a given closed, convex subset of R^d. In the framework of our…

  • 285
  • PDF
Foundations for financial economics
    Chi-Fu HuangR. Litzenberger

    Economics

  • 1988

1. Preferences Representation and Risk Aversion. 2. Stachastic Dominance. 3. Mathematics of the Portfolio Frontier. 4. Two Fund Separation and Linear Valuation. 5. Allocative Efficiency and the…

  • 554
No-Arbitrage Bounds on Contingent Claims Prices with Convex Constraints on the Dollar Investments of the Hedge Portfolio
    Claus Munk

    Mathematics, Economics

  • 1997

With constrained portfolios, contingent claims do not generally have a unique price, for which there are no arbitrage opportunities. We generalize earlier results of El Karoui and Quenez (1995) and…

  • 5
The Pricing of Options and Corporate Liabilities
    F. BlackMyron S. Scholes

    Business, Economics

    Journal of Political Economy

  • 1973

If options are correctly priced in the market, it should not be possible to make sure profits by creating portfolios of long and short positions in options and their underlying stocks. Using this…

  • 29,283
  • PDF
An Analytic Derivation of the Efficient Portfolio Frontier
    R. C. Merton

    Mathematics, Business

    Journal of Financial and Quantitative Analysis

  • 1972

It is shown that under certain conditions, the classic graphical technique for deriving the efficient portfolio frontier is incorrect and the most important implication derived from these characteristics, the separation theorem, is stated and proved in the context of a mutual fund theorem.

  • 945
  • PDF
A Critique of the Asset Pricing Theory''s Tests: Part I
    Richard Roll

    Economics

  • 1977
  • 2,961
  • PDF
Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
    N. KarouiM. Quenez

    Mathematics, Economics

  • 1995

The problem of pricing contingent claims or options from the price dynamics of certain securities is well understood in the context of a complete financial market. This paper studies the same problem…

  • 689
Continuous-Time Finance
    R. C. MertonP. Samuelson

    Mathematics, Economics

  • 1990

Section I: Introductin to Finance and the Mathematics of Continuous-Time Models 1 Modern Finance 2 Introduction to Portfolio Selection and Capital Market Theory: Static Analysis 3 On the Mathematics…

  • 1,377
Convex Duality in Constrained Portfolio Optimization
    Jakša CvitanićI. Karatzas

    Mathematics, Economics

  • 1992

We study the stochastic control problem of maximizing expected utility from terminal wealth and/or consumption, when the portfolio is constrained to take values in a given closed, convex subset of…

  • 658
  • PDF
Decreasing Risk Aversion and Mean-Variance Analysis
    Larry G. Epstein

    Economics

  • 1985

On formule un ensemble de postulats d'aversion pour le risque absolu decroissant et on montre que seules les fonctionnelles d'utilite moyenne-variance peuvent les satisfaire

  • 68

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