Analysis of Portfolio Optimization under Short-selling and No Short-selling
Qiong Wu · Journal of Guangxi University of Finance and Economics · 2006
Based on Markowitz's classical Mean-Variance model,we discussed the portfolio optimization under short-selling and no short-selling,and analyzed portfolios containing risk-free asset and without risk-free asset by Matlab.The results showed that short-selling has advantages on investors' profit and healthy development of security market,and short-selling mechanism will be surely the trend of China's stock market in the future.