search query: @indexterm SHORT SELLING / total: 15
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| Author: | Jagannathan, R. Ma, T. |
| Title: | Risk reduction in large portfolios: why imposing the wrong constraints helps |
| Journal: | Journal of Finance
2003 : AUG, VOL. 58:4, p. 1651-1683 |
| Index terms: | Risk management Portfolio management Short selling |
| Language: | eng |
| Abstract: | The authors explain why constraining portfolio weights to be nonnegative can reduce the risk in estimated optimal portfoliosb even when the constraints are wrong. With no-short-sale constraints in place, the sample covariance matrix performs as well as covariance matrix estimates based on factor models, shrinkage estimators, and daily data. |
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