Abstract
PurposeThe purpose of this paper is to provide a SAS program for an efficient portfolio given a short sale restriction.Design/methodology/approachWe provide a 50-stock portfolio given 50 weekly stock returns. We contrast results with a 50-stock portfolio without a restriction.FindingsWe portfolio weights and utility scores for a range of returns from zero to 2.06%.Practical implicationsThis program can be used for any sized portfolio.Originality/valueThis is the first SAS program for a 50-stock portfolio given return information.
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