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Optimal portfolio selection under institutional procedures for short selling

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  • Kwan, Clarence C. Y.
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    File URL: http://www.sciencedirect.com/science/article/B6VCY-3YB56RG-X/2/9770ee840182a60d13ca43f01cf04e31
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 19 (1995)
    Issue (Month): 5 (August)
    Pages: 871-889

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    Handle: RePEc:eee:jbfina:v:19:y:1995:i:5:p:871-889

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    Web page: http://www.elsevier.com/locate/jbf

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
    2. Brent, Averil & Morse, Dale & Stice, E. Kay, 1990. "Short Interest: Explanations and Tests," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(02), pages 273-289, June.
    3. Sharpe, William F, 1991. " Capital Asset Prices with and without Negative Holdings," Journal of Finance, American Finance Association, vol. 46(2), pages 489-509, June.
    4. Cheung, C Sherman & Kwan, Clarence C Y, 1988. " A Note on Simple Criteria for Optimal Portfolio Selection," Journal of Finance, American Finance Association, vol. 43(1), pages 241-45, March.
    5. Elton, Edwin J & Gruber, Martin J & Padberg, Manfred W, 1976. "Simple Criteria for Optimal Portfolio Selection," Journal of Finance, American Finance Association, vol. 31(5), pages 1341-57, December.
    6. Alexander, Gordon J & Resnick, Bruce G, 1985. " More on Estimation Risk and Simple Rules for Optimal Portfolio Selection," Journal of Finance, American Finance Association, vol. 40(1), pages 125-33, March.
    7. Elton, Edwin J & Gruber, Martin J & Padberg, Manfred W, 1978. "Simple Criteria for Optimal Portfolio Selection: Tracing out the Efficient Frontier," Journal of Finance, American Finance Association, vol. 33(1), pages 296-302, March.
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    Cited by:
    1. Kwan, Clarence C. Y., 1997. "Portfolio selection under institutional procedures for short selling: Normative and market-equilibrium considerations," Journal of Banking & Finance, Elsevier, vol. 21(3), pages 369-391, March.
    2. Sankaran, Jayaram K. & Patil, Ajay A., 1999. "On the optimal selection of portfolios under limited diversification," Journal of Banking & Finance, Elsevier, vol. 23(11), pages 1655-1666, November.
    3. Klein, Peter, 1998. "The capital gain lock-in effect with short sales constraints," Journal of Banking & Finance, Elsevier, vol. 22(12), pages 1533-1558, December.
    4. C.Y. Kwan, Clarence, 1999. "A note on market-neutral portfolio selection," Journal of Banking & Finance, Elsevier, vol. 23(5), pages 773-800, May.
    5. David M. Schizer & Michael R. Powers & Martin Shubik, 2003. "Market Bubbles and Wasteful Avoidance: Tax and Regulatory Constraints on Short Sales," Yale School of Management Working Papers ysm356, Yale School of Management.
    6. Michael McKenzie & Olan T. Henry, 2007. "The Determinnts of Short Selling in the Hong Kong Equities Market," Department of Economics - Working Papers Series 1001, The University of Melbourne.
    7. Klein, Peter, 2004. "The capital gain lock-in effect and perfect substitutes," Journal of Public Economics, Elsevier, vol. 88(12), pages 2765-2783, December.

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