Portfolio Analysis Using Single Index, Multi‐Index, and Constant Correlation Models: A Unified Treatment
提出一个简单通用算法，适用于七种不允许卖空风险证券的最优投资组合选择模型，无需对证券进行显式排序，特别适用于无排序准则的多指数模型，并通过模拟研究证明其算法效率。
ABSTRACT In this study a simple common algorithm which is applicable to seven models is proposed for optimal portfolio selection disallowing short sales of risky securities. The models considered in the analysis consist of a single index model, four multi‐index models, and two constant correlation models. Unlike the previous approach, the proposed algorithm does not require explicit ranking of securities. Therefore, it is particularly useful for two multi‐index models with orthogonal indices which do not provide any ranking criterion. Also, because of its algorithmic efficiency as demonstrated in a simulation study on models with multiple groups, the approach here can enhance their usefulness in portfolio analysis.