Bellalah Mondher, Hakim Akeb, Si Kehan, Zhang Detao
Cy Cergy Paris University, Cergy, France.
ISC Paris Business School, Paris, France.
Ann Oper Res. 2022;313(2):1373-1386. doi: 10.1007/s10479-020-03692-8. Epub 2020 Jun 28.
Financial models are based on the standard assumptions of frictionless markets, complete information, no transaction costs and no taxes and borrowing and short selling without restrictions. Short-selling bans around the world after the global financial crisis and in several exchanges during the COVID 19 period, become more and more important. This paper bridges the gap by providing for the first time in the literature a model that accounting explicitly and simultaneously for inflation, information costs and short sales in the portfolio performance with regime switching. Our model can be used by portfolio managers to assess the impact of these market imperfections on portfolio decisions.
金融模型基于无摩擦市场、完全信息、无交易成本、无税收以及无限制借贷和卖空的标准假设。全球金融危机后以及新冠疫情期间多个交易所实施的卖空禁令变得越来越重要。本文填补了这一空白，首次在文献中提供了一个模型，该模型在考虑状态切换的情况下，明确且同时地将通货膨胀、信息成本和卖空纳入投资组合绩效核算。我们的模型可供投资组合经理用来评估这些市场缺陷对投资组合决策的影响。
