Windjammer

green360 Wrote:
-------------------------------------------------------
> B_C Wrote:
> --------------------------------------------------
> -----
> > If E(R) > tangency portfolio and no short sale
> > allowed.
> > => choose 2 corner portfolio
> >
> > If E(R) > tangency portfolio and short sale is
> > allowed.
> > => Combine rf asset with the tangency portfolio
> > (highest sharpe portfolio)
> >
> > If E(R) < tangency portfolio, whether short
> sale
> > allowed or not
> > => Combine rf asset with the tangency portfolio
> > (highest sharpe portfolio)
>
>
> hmm.. I hadn't thought of that last scenario,
> where if borrowing rf is not necessary then always
> use highest sharpe. though I suppose that is the
> optimal thing to do..
>
> I was always going about it as:
> shorting allowed --> highest sharpe + rf
> not allowed --> adjacent porfolios

yep! this is the way I remembered.