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Optimal Choice under Short Sell Limit with Sharpe Ratio as Criterion among Multiple Assets

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  • Yiran Sheng
  • Ruokun Huang

Abstract

This article is the term paper of the course Investments. We mainly focus on modeling long-term investment decisions of a typical utility-maximizing individual, with features of Chinese stock market in perspective. We adopt an OR based methodology with market information as input parameters to carry out the solution. Two main features of this article are: first, we take the no short-sell constraint in Chinese stock market into consideration and use an approach otherwise identical to Markowitz to work out the optimal portfolio choice; this method has critical and practical implication to Chinese investors. Second, we incorporate the benefits of multiple assets into one single well-defined utility function and use a MIQP procedure to derive the optimal allocation of funds upon each of them along the time-line.

Suggested Citation

  • Yiran Sheng & Ruokun Huang, 2013. "Optimal Choice under Short Sell Limit with Sharpe Ratio as Criterion among Multiple Assets," Papers 1310.6822, arXiv.org.
    • Handle: RePEc:arx:papers:1310.6822
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