禁止short selling和two-fund原理的关系?

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

据说是如果禁止了short selling,则在Mean-variance空间中就不能用two-fund原理.为什么呢?
哪位达人能给讲解一下
(要考试了,有点急)

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：Selling Short Sell Fund ING 原理 关系 Selling Short

Yes. yet three fund separation will still hold. take the minimization and put on the lagrangian with the no short sale constraint you have

min \frac{1}{2}w'\Sigma w

subject to w>0, 1'w=1, w'r=\mu

Solve for the solution, we have

w=\lambda\Sigma^{-1} r+\omega \sigma^{-1}1+\Sigma^{-1}\phi

subject to the constraint \phi'w=0. We still have a three fund separation. However, when there is a risk free asset, and the market portfrolio is in postive supply, CAPM will still hold

Solve for the solution we have

I am sorry, the three fund separation will not hold as \phi will depend on \mu. My apologies.