Abstract
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.
© 2004 Kluwer Academic Publishers
© 2004 Kluwer Academic Publishers
| Original language | English |
|---|---|
| Pages (from-to) | 67-95 |
| Journal | Journal of Global Optimization |
| Volume | 28 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - Jan 2004 |
Bibliographical note
Publication details (e.g. title, author(s), publication statuses and dates) are captured on an “AS IS” and “AS AVAILABLE” basis at the time of record harvesting from the data source. Suggestions for further amendments or supplementary information can be sent to [email protected].Funding
This research was partially supported by The National Natural Science Foundation of China (Grant No. 70003002), a CERG grant of Hong Kong RGC (Project No. CityU 1081/02E). The authors owe their thanks to Ioannis Karatzas and Claus Munk for their valuable comments and suggestions of references. We are ind ebted to Professor Yinfeng Xu for his recommendation. We also gratefully acknowledge the anonymous referee for his / her useful comments. Of course, we alone are responsible for any remaining shortcoming.
Research Keywords
- Different interest rates for borrowing and lending
- Kuhn-Tucker condition
- Portfolio selection
- Quadratic program
RGC Funding Information
- RGC-funded
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