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

Abstract

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.

Citation

Thompson, T.H. (2021), "An instructional note to obtain an efficient portfolio with a short sale restriction", Managerial Finance, Vol. 47 No. 3, pp. 383-393. https://doi.org/10.1108/MF-07-2020-0400