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Portfolio Selection Theory with Different Interest Rates for Borrowing and Leading |
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| Authors: | Shunming Zhang Shouyang Wang Xiaotie Deng |
| Affiliation: | (1) Department of Economics, The University of Western Ontario, London, Ontario, Canada, N6A 5C2; E-mail;(2) School of Economics and Management, Tsinghua University, Beijing, 100084, P.R. China; E-mail;(3) Institute of Systems Science, The Chinese Academy of Sciences, Beijing, 100080, P.R. China; E-mail;(4) Department of Computer Science, City University of Hong Kong Kowloon, Hong Kong SAR, China; E-mail |
| Abstract: | This paper considers the portfolio selection problem with different interest rates for borrowing and leading. The portfolio frontier is described under the general condition that the riskless borrowing rate is higher than the riskless lending rate. |
| Keywords: | different interest rates for borrowing and lending Kuhn-Tucker condition portfolio selection quadratic program |
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