Consider Short Margin Standard Securities Do More Empty Judging Cases

I adjusted one assumption in CAPM given by Markowitz. Markowitz assumes that when an investor short a security, he or she will get some resource to invest in other securities. But I assume that when the investor short a security, he or she should deposit some margin requirement instead of getting something. I analyses the situation of100%margin requirement and a positive margin requirement and find a criteria to judge that which securities should be taken long position and which should be taken short position. In fact, the criteria are the same. To do empirical test, I assume the margin requirement to be100%and use the data of50securities in SSE50.1compare the efficient frontier for this model with the efficient frontier for CAPM and the optimal portfolio for a given expected return and minimum variance portfolio for this model and them for the CAPM and the efficient frontier for this model with the efficient frontier for the no shorting model. Since if this model is used directly, there will be a lot of parameters to be estimated, I give the criterion when the return of the securities can be explained by several factors and compare this criterion with the traditional multi-factors criterion. In the end, I give two possible ways for investment, one is relatively complex with an optimization problem and the other is simpler which just use the criteria to separate the short long groups and use equal weighted or value weighted portfolio.