Abstract
This note supplements the paper by Charpin and Lacaze [1], which studied the efficient frontier of long-short portfolios taking regulations into account. The long-short portfolios were constructed using purchases on margin and short sales. We now introduce the possibility of making cash purchases (in addition to margin purchases) which can then be used as collateral for short selling. We first present the model, which encompasses our previous one. We then describe the potential gain from this new model, showing that it is likely to be negligible. A numerical resolution confirms this point.
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