Korkie, Bob; Turtle, Harry J. - In: Management Science 48 (2002) 3, pp. 427-443
-financing portfolios. A self-financing portfolio is a set of long and short investments such that the sum of their investment weights, or … self-financing portfolios are hedges, overlays, arbitrage portfolios, swaps, and long/short portfolios. A standard … portfolio plus the IOS of self-financing portfolios form a restricted IOS hyperbola with restricted efficient set constants that …