Financial models are based on the standard assumptions of frictionless markets, complete information, no transaction costs and no taxes and borrowing and short selling without restrictions. Short-selling bans around the world after the global financial crisis and in several exchanges during the COVID 19 period, become more and more important. This paper bridges the gap by providing for the first time in the literature a model that accounting explicitly and simultaneously for inflation, information costs and short sales in the portfolio performance with regime switching. Our model can be used by portfolio managers to assess the impact of these market imperfections on portfolio decisions.

中文翻译：

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政权转换的长期最优投资：通货膨胀、信息和卖空

金融模型基于无摩擦市场、信息完整、无交易成本、无税收、无限制借贷和卖空的标准假设。全球金融危机后全球范围内的卖空禁令以及 COVID 19 期间的几个交易所变得越来越重要。本文通过在文献中首次提供一个模型来弥补这一差距，该模型明确并同时考虑了投资组合绩效中的通货膨胀、信息成本和卖空以及制度转换。投资组合经理可以使用我们的模型来评估这些市场不完善对投资组合决策的影响。