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ArticleOptimal portfolio policies with borrowing and shortsale constraints

Lucie Teplá2000

Article2000

Optimal portfolio policies with borrowing and shortsale constraints

88 citations·0/0 files stored·Journal of Economic Dynamics and Control

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1972Capital Market Equilibrium with Restricted Borrowing 1991Continuous-Time Finance.1989Optimal consumption and portfolio policies when asset prices follow a diffusion process 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon 1985A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets

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Year2000

Typearticle

Published2000-10-01

VenueJournal of Economic Dynamics and Control

ISSN-L0165-1889

Languageen

Citations88

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0165-1889(99)00089-5

openalex_workW2019425677

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1992

Convex Duality in Constrained Portfolio Optimization

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2000Equilibrium Mispricing in a Capital Market with Portfolio Constraints 2009Dynamic mean–variance portfolio selection with borrowing constraint 1998Who Should Buy Long-Term Bonds?2002Myopic Portfolio Choice 2007The Role of Portfolio Constraints in the International Propagation of Shocks 2002Systemic Risk and International Portfolio Choice 2014Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting 2008Effectiveness of CPPI strategies under discrete-time trading