EconPapers    
Economics at your fingertips  
 

THE CHARPIN–LACAZE RESPONSE TO C. C. Y. KWAN'S PAPER "LONG-SHORT PORTFOLIO MODELING: CRITIQUE AND 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, 19-23

Abstract: With this note, we refute Kwan's criticism. On one hand, the choice of an inequality budget constraint allows us, for μ greater than μ0, to study the useful part of the efficient frontier. On the other hand, the assumption that the cost of constructing long-short portfolios is positive, seems quite reasonable when transactions costs are included. Finally, we consider Kwan's revised model and explain why his formulation does not work.

Keywords: Equity; long-short; strategies (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/S0219024904002293
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:s0219024904002293

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219024904002293

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 ().

 
Page updated 2025-03-20
Handle: RePEc:wsi:ijtafx:v:07:y:2004:i:01:n:s0219024904002293