LONG-SHORT PORTFOLIO MODELING: CRITIQUE AND EXTENSION

Clarence C. Y. Kwan ()
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Clarence C. Y. Kwan: Michael G. DeGroote School of Business, McMaster University, Hamilton, Ontario L8S 4M4, Canada

International Journal of Theoretical and Applied Finance (IJTAF), 2004, vol. 07, issue 01, 1-18

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.

Keywords: Portfolio analysis; long-short equity investing (search for similar items in EconPapers)
Date: 2004
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DOI: 10.1142/S0219024904002281

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