Factor neutral portfolios (Q747746)

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Factor neutral portfolios
scientific article

    Statements

    title
    Factor neutral portfolios (English)
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    author
    Cristiano Arbex Valle
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    Nigel Meade
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    John E. Beasley
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    published in
    OR Spectrum
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    publication date
    19 October 2015
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    zbMATH Keywords
    factor neutral portfolio
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    Fama and French three-factor model
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    portfolio construction
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    quantile regression
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    describes a project that uses
    CPLEX
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    quantreg
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    90C11
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    90C05
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    zbMATH DE Number
    6495741
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    OpenAlex ID
    W2011477255
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