This contribution aims to investigate portfolio optimization problems, that qualifies amongst the most discussed topics in the FinTech domain. In particular, we tackle the uniperiodal portfolio selection problem, that aims at finding the optimal composition of a portfolio over a given time horizon, ...
Garcia makes the following statements about investing with long–short anlong-only managers:Statement 1 A long–short portfolio allows for a gross exposure of 100%.Statement 2 A long-only portfolio generally allows for greater investment capacity thother approaches, particularly when using strategies th...
——long short是最广泛的术语,可以包括long extension strategy和市场中性产品。最常见的是,术语“long short”是指在利用正面和负面见解的程度上相对不受限制的策略。 long extension strategy是受约束的long short策略。可以理解是通过做空换来一部分资产到多头加杠杆。典型的long extension strategy被限制为净敞口为 ...
long-short portfoliosequal weightsoptimized weightsrisk-timing weightsThis paper develops a long-short portfolio construction technique that captures the fundamentals of backwardation and contango and simultaneously deviates fromRad, HosseinLow, Rand Kwong Yew...
portfolio constructionshort-sellingReg Tdollar neutralitybeta neutralityInvestors typically focus on long portfolios and "winning" securities while ignoring potential opportunities derived from "losing" securities. The ability to take short positions expands the scope of an investor's sphere of activity and...
The “integrated” approach requires the construction of only a single portfolio, as the individual signals are first combined into an overall signal and the portfolio is then constructed on the basis of this multifactor signal. The debate in the academic literature has focused primarily on the qu...
展开 关键词: long-short investing short-selling market-neutral portfolios equitized long-short portfolios alternative investments portfolio construction absolute return performance measurement hedge strategies prime broker DOI: 10.3905/jpm.1993.52 被引量: 11 年份: 2016 收藏...
Portfolio Construction Channel Your Investment Playbook: Buying Back Into Bonds Karrie Gordon Many investors still find themselves sitting on excess cash in their portfolios, an unsurprising...Core Strategies Channel Still in Cash? These 3 Small-Cap ETFs Can Stand Out to End 2024 Core Strategie...
This ranking score serves as a basis for long only portfolio construction. Long-Only Portfolio Strategy: The Long-Only Portfolio Strategy focuses on taking long positions in the top k stock portfolios, which are then held for a single period (t + 1). To gauge the effectiveness of this...
Alpha generation, portfolio construction, hedge ratios, and beta neutral portfolios are illustrated with case studies and worked examples. Episodes of financial contagion are illustrated with a proposed explanation of their origins within underlying market dynamics Long/Short Market Dynamics 2024 pdf epub ...