Short Selling and Efficient Sets
分析了卖空对有效集构成和位置的影响，特别考虑了初始保证金要求低于100%且卖空所得无风险利率低于保证金利率的现实情况，并展示了修改后的Elton-Gruber-Padberg算法如何在此条件下识别有效集。
ABSTRACT The effect of short selling on the composition and location of the efficient set has been analyzed in a variety of ways. However, the situation typically facing investors where the initial margin requirement is less than 100 percent and the riskfree interest rate that is paid on the short proceeds is less than the rate paid on initial margin has not previously been considered. The Elton‐Gruber‐Padberg algorithm (1976, 1978), subject to certain modifications, is shown here to be capable of identifying the efficient set under such conditions.