HomeDLSU Business & Economics Reviewvol. 10 no. 1 (1998)

The Robustness of Optimum Portfolio Investment Rankings When Short Selling Is Allowed and With Risk-Free Lending and Borrowing

Cesar C. Rufino

Discipline: Economics



One of the most interesting areas in portfolio management theory is the determination of the optimum solution to the classical problem of a risk averse investor who would like to make his total portfolio risk as small as possible, but at the same time meeting a guaranteed rate of return. Much has been written and said about the various approaches in solving such a problem, that today, a unified body of techniques complemented by highly sophisticated computer software, has evolved. Investment analysts, fund managers, and brokers/dealers often refer to these techniques in their practical investment analysis applications.