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Purpose
The purpose of this paper is to provide a SAS program for an efficient portfolio given a short sale restriction.
Design/methodology/approach
We provide a 50-stock portfolio given 50 weekly stock returns. We contrast results with a 50-stock portfolio without a restriction.
Findings
We portfolio weights and utility scores for a range of returns from zero to 2.06%.
Practical implications
This program can be used for any sized portfolio.
Originality/value
This is the first SAS program for a 50-stock portfolio given return information.
© Emerald Publishing Limited
2020
Emerald Publishing Limited
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