long portfolios [股] 多头, 市价看涨 short position 证券或外汇交易中未补抛空差额, 欠缺的头寸
While the hedge funds strategies become more popular, the chance to achieve profit by this strategies is shrinking.Therefore two models to generate long-short portfolios are proposed. By this approaches a portfolio A for the long- and a portfolio B for the short position were computed. The ...
short-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 can result in ...
Our long-short extension to the mean-variance-CVaR model incorporates many financial institutions' practices in respect of the short decisions. We highlight that introducing short selling leads to superior choice of portfolios, with higher expected return and much lower risk exposures, as characterized...
thechancetoachieveprofitbythisstrategiesisshrinking. Thereforetwomodelstogeneratelong-shortportfoliosareproposed.Bythisapproachesa portfolioAforthelong-andaportfolioBfortheshortpositionwerecomputed.Thedifferenceof thevaluesofAandBisdesignedtooscillatefromnegativetopositiveandreverse.Thisbehavior ofoscillatingormean...
Therefore two models to generate long-short portfolios are proposed. By this approaches a portfolio A for the long- and a portfolio B for the short position were computed. The difference of the values of A and B is designed to oscillate from negative to positive and reverse. This behavior ...
Trimability and Fast Optimization of Long–Short Portfolios long-only portfolios can be used, virtually unchanged, for long-short portfolio optimization provided the portfolio is trimable, which usually holds in ... BI Jacobs,KN Levy,HM Markowitz - 《Financial Analysts Journal》 被引量: 72发表:...
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...
Once again, it’s long/short portfolios all the way down. That “long cash / short U.S. equity” component is a big drag over a 100-year period and captures what I like to call the “funding problem.” As attractive as that value long/short may be, can it overcome the ...
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...