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Short Sales Restrictions and Kinks on the Mean Variance Frontier

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  • Dybvig, Philip H

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  • Dybvig, Philip H, 1984. "Short Sales Restrictions and Kinks on the Mean Variance Frontier," Journal of Finance, American Finance Association, vol. 39(1), pages 239-244, March.
  • Handle: RePEc:bla:jfinan:v:39:y:1984:i:1:p:239-44
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    Cited by:

    1. Ukhov, Andrey D., 2006. "Expanding the frontier one asset at a time," Finance Research Letters, Elsevier, vol. 3(3), pages 194-206, September.
    2. Enrique Ballestero, 2005. "Mean-Semivariance Efficient Frontier: A Downside Risk Model for Portfolio Selection," Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(1), pages 1-15.
    3. Alessandro Bucciol & Raffaele Miniaci, 2006. "Optimal asset allocation based on utility maximization in the presence of market frictions," "Marco Fanno" Working Papers 0012, Dipartimento di Scienze Economiche "Marco Fanno".
    4. Ter Horst, J.R. & de Roon, F.A. & Werker, B.J.M., 2000. "Incorporating Estimation Risk in Portfolio Choice," Other publications TiSEM 30107fbe-2dc9-43d5-a086-e, Tilburg University, School of Economics and Management.
    5. William Goetzmann & Andrey Ukhov, 2005. "British Investment Overseas 1870-1913: A Modern Portfolio Theory Approach," Yale School of Management Working Papers ysm445, Yale School of Management.
    6. Ter Horst, J.R. & de Roon, F.A. & Werker, B.J.M., 2000. "Incorporating Estimation Risk in Portfolio Choice," Discussion Paper 2000-65, Tilburg University, Center for Economic Research.
    7. William N. Goetzmann & Andrey D. Ukhov, 2006. "British Investment Overseas 1870-1913: A Modern Portfolio Theory Approach," Review of Finance, European Finance Association, vol. 10(2), pages 261-300.
    8. Voros, J. & Kriens, J. & Strijbosch, L. W. G., 1999. "A note on the kinks at the mean variance frontier," European Journal of Operational Research, Elsevier, vol. 112(1), pages 236-239, January.
    9. Thomas J. Brennan & Andrew W. Lo, 2010. "Impossible Frontiers," Management Science, INFORMS, vol. 56(6), pages 905-923, June.
    10. József Móczár, 2010. "Anatomy and Lessons of the Global Financial Crisis," Public Finance Quarterly, State Audit Office of Hungary, vol. 55(4), pages 753-775.

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