Shortage function and portfolio selection: On some special cases and extensions

Walter Briec, Laurence Oms and Eric Paget-Blanc

Finance Research Letters, 2014, vol. 11, issue 3, 295-302

Abstract: The shortage function has recently been introduced in portfolio selection theory for measuring efficiency. In this paper we focuss on the case of shortselling. We show that, in such a case, the shortage function can be computed in closed form. Some issues concerning duality are also analyzed. We also analyze the case of a riskless asset.

Keywords: Shortage function; Efficient frontier; Shortselling; Portfolio management; Riskless asset (search for similar items in EconPapers)
JEL-codes: G10 G11 G14 G17 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:11:y:2014:i:3:p:295-302

DOI: 10.1016/j.frl.2013.11.001

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