LONG-SHORT STRATEGIES: AN EXTENSION

Françoise Charpin () and Dominique Lacaze ()
Additional contact information
Françoise Charpin: OFCE 69, quai d'Orsay, 75007 Paris, France
Dominique Lacaze: UFR de Sciences Economiques et de Gestion, Université de Paris X- Nanterre, 200, avenue de la République, 92001 - Nanterre cedex, France

International Journal of Theoretical and Applied Finance (IJTAF), 2004, vol. 07, issue 01, 25-29

Abstract: This note supplements the paper by Charpin and Lacaze [1], which studied the efficient frontier of long-short portfolios taking regulations into account. The long-short portfolios were constructed using purchases on margin and short sales. We now introduce the possibility of making cash purchases (in addition to margin purchases) which can then be used as collateral for short selling. We first present the model, which encompasses our previous one. We then describe the potential gain from this new model, showing that it is likely to be negligible. A numerical resolution confirms this point.

Keywords: Equity long-short strategies; hedge funds (search for similar items in EconPapers)
Date: 2004
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S021902490400230X
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:ijtafx:v:07:y:2004:i:01:n:s021902490400230x

Ordering information: This journal article can be ordered from

DOI: 10.1142/S021902490400230X

Access Statistics for this article

International Journal of Theoretical and Applied Finance (IJTAF) is currently edited by L P Hughston

More articles in International Journal of Theoretical and Applied Finance (IJTAF) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().