Nếu có nhiều hơn một giao dịch xảy ra trong ba mươi giây cuối cùng của Phạm vi giải quyết, thương mại trọng trung bình của giá cả, được làm tròn để đánh dấu gần nhất, sẽ là giá thanh toán. c. Nếu giao dịch không xảy raNgày giao dịch cuối ngày giải quyết và Tính toán Thời gian giải quyết Giá | 112 THEORY AND EVIDENCE ON SHORT SELLING model. As discussed above the major exception may be among stocks of different sizes. Thus selection among possible additions to the portfolio especially of the same size cannot be based on anticipated returns. However the contributions to diversification and risk reduction are likely to differ between securities. Markowitz optimization may be useful in identifying possible risk reducing additions to the portfolio. This procedure is cheap if historical data are used in deriving the covariance matrix with sophisticated methods used to reduce the large random element in historically derived portfolios58 . Normally candidates for analysis can be identified this way at low cost. If they prove after analysis not to be overpriced they may be purchased. Hopefully by repeating this process diversification can be maintained at low transactions costs. Only if this procedure fails would sales for the purpose of maintaining diversification be done. It is conceivable that the optimal portfolio strategy is to combine analyzed stocks with unanalyzed ones. This might happen if certain categories were believed to have such efficiently priced securities as not to justify any analysis and other categories had less efficiently priced securities. The most plausible example of this would be where there were believed to be opportunities for analysis in small stocks while certain large stocks were so well studied that one did not expect to be able to uncover information not reflected in the prices. Yet diversification might require some exposure to large capitalization stocks. One optimization exercise might combine studied small stocks expected to earn a competitive 12 with other stocks selected by simple rules and expected to yield 10 . There are firms now that offer to provide completeness portfolios at low cost to provide diversification and exposure to types of securities one does not maintain expertise in. Optimization can help decide whether
