Short Selling and Efficient Sets


Research output: Contribution to journalArticlepeer-review

19 Scopus citations


The effect of short selling on the composition and location of the efficient set has been analyzed in a variety of ways. However, the situation typically facing investors where the initial margin requirement is less than 100 percent and the riskfree interest rate that is paid on the short proceeds is less than the rate paid on initial margin has not previously been considered. The Elton‐Gruber‐Padberg algorithm (1976, 1978), subject to certain modifications, is shown here to be capable of identifying the efficient set under such conditions. 1993 The American Finance Association

Original languageEnglish (US)
Pages (from-to)1497-1506
Number of pages10
JournalThe Journal of Finance
Issue number4
StatePublished - Sep 1993


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