A short position is the option to sell the stock at a particular price in the future. The value of this option fluctutates in the same way as the underlying stock price. This value can be used as input to the portfolio optimization assuming that the option is part of the portfolio of assets.
Since the variance of asset value accounts for both upside and downside price fluctuations in the past, it does not necessarily predict the probability of long and short positions exercising in the future. The mimimum and maximum constraints on the optimal portfolio can be used to evaluate scenarios for long and short position expiration an/or conversion, however.
The program does not allow negative values for units. Entering negative price data to force the current portfolio weighting (unit multiplied by the final price) to produce a negative weighting in the portfolio will not produce valid results as the optimization process assumes only positive prices for assets ignoring observations that do not comply.
Therefore, the program cannot account for negative (short) positions.
A short sale of stock is what I was referring to. Not a put option. Can you address the question in regards to how to input a short sale of stock? i.e. I am holding negative shares. Thanks.
Pour plus court ou mon expression vader(j'en revandique l'origine en1991) tu sélectionnes le bouton en haut à gauche sur L/S. Vous mettrez un poids négatif à votre valeur.
Leloup
Posted by First on
Displaying page 1 of 1
Excel templates and solutions matched for How do you input short positions?:
