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Shortage function and portfolio selection: on some special cases and extensions
Journal article   Peer reviewed

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

Walter Briec, Laurence Oms and Eric Paget-Blanc
Finance Research Letters, Vol.11(3), pp.295-302
09/2014
DOI: https://doi.org/10.1016/j.frl.2013.11.001

Abstract

Shortselling Shortage function Efficient frontier Riskless asset Portfolio management G - Financial Economics/G.G1 - General Financial Markets/G.G1.G11 - Portfolio Choice • Investment Decisions G - Financial Economics/G.G1 - General Financial Markets/G.G1.G10 - General G - Financial Economics/G.G1 - General Financial Markets/G.G1.G14 - Information and Market Efficiency • Event Studies • Insider Trading G - Financial Economics/G.G1 - General Financial Markets/G.G1.G17 - Financial Forecasting and Simulation
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.
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