Abstract

The impermissibility of short selling (non-negativity of the asset values) is inter alia the preliminary assumptions considered in Markowitz model that only paves the way for the purchase of the assets. Now, Markowitz quadratic model, considering only two constraints of return and budget, is followed by an inefficient investment frontier. During the past years, the other introduced applied constraints have led to the development of a preliminary Markowitz model. In the current research paper, a novel model has been offered for the portfolio optimization. Besides allowing the short selling, some other applied market constraints have also been imposed on the model. Utilizing the price information obtained from 15 shares, a nonlinear model was delineated via making use of solved standard tools and efficient investment frontier.