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

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 o...

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Veröffentlicht in:	Decisions in economics and finance 2021-06, Vol.44 (1), p.197-214
Hauptverfasser:	Khodamoradi, Tahereh, Salahi, Maziar, Najafi, Ali Reza
Format:	Artikel
Sprache:	eng
Schlagworte:	Cardinality Constraint modelling Econometrics Economic Theory/Quantitative Economics/Mathematical Methods Economics Economics and Finance Finance Interest rates Management Operations Research/Decision Theory Optimization Public Finance Risk Short sales
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