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Long-Short Portfolio Modeling: Critique And Extension

Author

Listed:
  • CLARENCE C. Y. KWAN

    (Michael G. DeGroote School of Business, McMaster University, Hamilton, Ontario L8S 4M4, Canada)

Abstract

This study offers a critique of a recentIJTAFarticle by Charpin and Lacaze that formulates and solves a long-short portfolio selection problem. This study not only addresses some analytical issues arising from their model formulation but also provides a revised version and some properties of the corresponding efficient portfolios. Further, the revised formulation is extended to accommodate other practical features of long-short investing. This study is intended to enhance the usefulness of long-short portfolio modeling in practice.

Suggested Citation

  • Clarence C. Y. Kwan, 2004. "Long-Short Portfolio Modeling: Critique And Extension," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 7(01), pages 1-18.
    • Handle: RePEc:wsi:ijtafx:v:07:y:2004:i:01:n:s0219024904002281
    DOI: 10.1142/S0219024904002281
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    References listed on IDEAS

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    1. Simon Benninga, 2000. "Financial Modeling, 2nd Edition," MIT Press Books, The MIT Press, edition 2, volume 1, number 0262024829, December.
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