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Optimal algorithms and intuitive explanations for Markowitz’s portfolio selection model and Sharpe’s ratio with no short-selling

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Abstract

Most of the previous researches about portfolio analysis focus on short-selling. In fact, no short-selling is also important because short-selling is not allowed in stock markets of some countries. This paper gives the sufficient and necessary conditions and proposes an optimal algorithm for Markowitz’s mean-variance models and Sharpe’s ratio with no short-selling. The optimal algorithm makes it easier to obtain the efficient frontiers with no short-selling.

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Authors and Affiliations

  1. School of Mathematics & Statistics and Key Laboratory for Applied Statistics of MOE, Northeast Normal University, Changchun, 130024, China

    NingZhong Shi, ShuRong Zheng & BaoXue Zhang

  2. School of Mathematics, Jilin University, Changchun, 130012, China

    Min Lai

Authors
  1. NingZhong Shi
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  2. Min Lai
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  3. ShuRong Zheng
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  4. BaoXue Zhang
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Corresponding author

Correspondence to NingZhong Shi.

Additional information

This work was supported by the National Natural Science Foundation of China (Grant Nos. 10501005, 10701021) and Northeast Normal University (Grant No. NENU-STC07001)

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Shi, N., Lai, M., Zheng, S. et al. Optimal algorithms and intuitive explanations for Markowitz’s portfolio selection model and Sharpe’s ratio with no short-selling. Sci. China Ser. A-Math. 51, 2033–2042 (2008). https://doi.org/10.1007/s11425-008-0080-5

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  • DOI: https://doi.org/10.1007/s11425-008-0080-5

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