An instructional note to obtain an efficient portfolio with a short sale restriction

摘要

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.