Optimal portfolio selection under institutional procedures for short selling

Article Abstract:

A simple ranking model for optimal portfolio construction under institutional procedures for short selling is introduced. The study justifies this approach and offers economic insights, including those concerning short selling's hedging impact in a portfolio context. The ranking model can be used to analyze various treatments of the short-sale proceeds and margin deposits. It is also found to be superior to other portfolio models in that it does not rely on assumptions that exaggerate short-sale benefits for maintaining analytical tractability.

Research, Models, Institutional investments, Investment analysis, Securities analysis, Short selling

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When can you immunize a bond portfolio?

Article Abstract:

A general framework to study bond portfolio immunization was developed. The framework allows three main contributions to the immunization literature. First, the duration puzzle is solved. Second, the concepts of an immunized portfolio and a maxmin portfolio are distinguished. Third, the framework includes most models in the literature. Furthermore, a new immunization technique is developed.

Portfolio Management, Methods

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Forecasting losses on a liquidating long-term loan portfolio

Article Abstract:

Using data from a major U.S. financial institution, this paper shows the changes in probability of default in individual loans as well as in forecasting aggregate defaults and losses on a nationwide portfolio of long-term loans.

United States, Statistical Data Included, Banking industry, Evaluation, Forecasts and trends, Mortgages, Markov processes, Loan loss reserves

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