ShortWe will in this paper discuss Quadratic Programming (QP) and portfolio optimization. Long-short portfolio has traditionally been hard to optimize because of the non-binding equality constraint i.e. the long posit ions are cancel out by the short positions. We have shown in this paper that...
short-sellingThis paper considers long-short portfolio optimization in the presence of two risk measures: variance and Conditional Value at Risk (CVaR) and asset choice constraints of (i) buy, sell and holding thresholds (ii) cardinality restrictions on the number of stocks to be held in the ...
This paper considers long-short portfolio optimization in the presence of two risk measures: variance and Conditional Value at Risk (CVaR) and asset choice constraints of (i) buy, sell and holding thresholds (ii) cardinality restrictions on the number of stocks to be held in the portfolio. The...
Methods for optimizing a portfolio having at least a long position portion and a short position portion are disclosed. One exemplary method includes developing a portfolio optimization strategy for the portfolio including: adjusting at least one investment in the long position portion of the portfolio,...
Stevenson, "The case for REITs in the mixed-asset-portfolio in the short and long-run." Journal of Real Estate Portfolio Management, Vol. 11, No. ... Lee,Stephen,Stevenson,... - 《Journal of Real Estate Portfolio Management》 被引量: 161发表: 2005年 Portfolio Optimization with Factors,...
A 13030 strategy is an attractive and viable equity investment strategy for building longshort portfolios and notionally expected to enhance investment exposure and market protection. However, the amalgamation of the strategy in the portfolio optimization problem model poses complex constraints which render...
Long-Short Portfolio - Fundación Una Galicia Moderna:长短组合- fundacióN尤娜加利西亚当代ón,N,n,una,ación,Short,Una,long 文档格式: .pdf 文档大小: 169.82K 文档页数: 11页 顶/踩数: 0/0 收藏人数: 0 评论次数: 0 文档热度: 文档分类: ...
The question of long-term dependence instead of short-term consideration is of particular interest, because portfolio optimization is based upon the ... R Füss,F Herrmann - 《Managerial Finance》 被引量: 11发表: 2005年 Analysis of long-term natural gas contracts with vine copulas in optimizatio...
(1999) Long-short portfolio management - An integrated approach. Journal of Portfolio Management 25(2): 23-32.Jacobs B., K. Levy, and D. Starer, 1999, "Long-Short Portfolio Management: An Integrated Approach", The Journal of Portfolio Management (Winter 1999): 23-32...
Portfolio OptimizationHurst ExponentLong-Term DependenceBiased Random WalkRescaled Range AnalysisWhilst emphasis has been given to short-term dependence of financial returns, long term dependence remains overlooked. Despite financial literature provides eviSocial Science Electronic Publishing...