Portfolio selection theory with different interest rates for borrowing and lending

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	Portfolio selection theory with different interest rates for borrowing and lending
	Zhang, SM ; Wang, SY ; Deng, XT
	2004
发表期刊	JOURNAL OF GLOBAL OPTIMIZATION
ISSN	0925-5001
卷号	28 期号:1 页码:67-95
摘要	This paper considers the portfolio selection problem with different interest rates for borrowing and lending. The portfolio frontier is described under the general condition that the riskless borrowing rate is higher than the riskless lending rate.
关键词	different interest rates for borrowing and lending Kuhn-Tucker condition portfolio selection quadratic program
语种	英语
WOS研究方向	Operations Research & Management Science ; Mathematics
WOS类目	Operations Research & Management Science ; Mathematics, Applied
WOS记录号	WOS:000186984200005
出版者	KLUWER ACADEMIC PUBL
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/507
专题	中国科学院数学与系统科学研究院
通讯作者	Zhang, SM
作者单位	1.Univ Western Ontario, Dept Econ, London, ON N6A 5C2, Canada 2.Tsing Hua Univ, Sch Econ & Management, Beijing 100084, Peoples R China 3.Chinese Acad Sci, Inst Syst Sci, Beijing 100080, Peoples R China 4.City Univ Hong Kong, Dept Comp Sci, Kowloon, Hong Kong, Peoples R China
推荐引用方式 GB/T 7714	Zhang, SM,Wang, SY,Deng, XT. Portfolio selection theory with different interest rates for borrowing and lending[J]. JOURNAL OF GLOBAL OPTIMIZATION,2004,28(1):67-95.
APA	Zhang, SM,Wang, SY,&Deng, XT.(2004).Portfolio selection theory with different interest rates for borrowing and lending.JOURNAL OF GLOBAL OPTIMIZATION,28(1),67-95.
MLA	Zhang, SM,et al."Portfolio selection theory with different interest rates for borrowing and lending".JOURNAL OF GLOBAL OPTIMIZATION 28.1(2004):67-95.