A Mean-Variance Analysis of Self-Financing Portfolios

@article{Korkie2002AMA,
  title={A Mean-Variance Analysis of Self-Financing Portfolios},
  author={Bob Korkie and Harry J. Turtle},
  journal={Management Science},
  year={2002},
  volume={48},
  pages={427-443}
}
This paper develops the analytics and geometry of the investment opportunity set IOS and the test statistics for self-financing portfolios. A self-financing portfolio is a set of long and short investments such that the sum of their investment weights, or net investment, is zero. This contrasts with a standard portfolio that has investment weights summing to one. Examples of self-financing portfolios are hedges, overlays, arbitrage portfolios, swaps, and long/short portfolios. A standard… CONTINUE READING

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