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Lucie Tepla
Senior Affiliate Professor of Finance
Keywords
Optimal investment; Borrowing constraints; Shortsale constraints
Journal Article
Tepla L. (2000). Optimal Portfolio Policies with Borrowing and Shortsale Constraints Journal of Economic Dynamics and Control, 24(11-12), pp. 1623-1639.
The author characterizes optimal intertemporal portfolio policies for investors with CRRA utility facing either a borrowing constraint, or shortsale restrictions, or both. The optimal constrained portfolios are identified as optimal unconstrained portfolios for a higher riskless rate, or for a subset of the risky assets, or for a combination of the two settings.