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Short Sales Restrictions and Kinks on the Mean Variance Frontier


  • 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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    References listed on IDEAS

    1. Richard H. Clarida & Diane Coyle, 1984. "Conditional Projection by Means of Kalman Filtering," Cowles Foundation Discussion Papers 702, Cowles Foundation for Research in Economics, Yale University.
    2. Richard H. Clarida & Benjamin M. Friedman, 1983. "Why Have Short-Term Interest Rates Been So High?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 14(2), pages 553-586.
    3. Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1983. "Forecasting and Conditional Projection Using Realistic Prior Distributions," NBER Working Papers 1202, National Bureau of Economic Research, Inc.
    4. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    5. Benjamin M. Friedman, 1977. "The Inefficiency of Short-Run Monetary Targets for Monetary Policy," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 8(2), pages 293-346.
    6. Christopher A. Sims, 1982. "Policy Analysis with Econometric Models," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 13(1), pages 107-164.
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    Cited by:

    1. 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.
    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," Working Papers ubs0605, University of Brescia, Department of Economics.
    4. 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.
    5. Thomas J. Brennan & Andrew W. Lo, 2010. "Impossible Frontiers," Management Science, INFORMS, vol. 56(6), pages 905-923, June.
    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. 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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