Market neutral portfolios

DOI10.1007/S11590-013-0714-6zbMATH Open1308.90113OpenAlexW1991355161MaRDI QIDQ476263FDOQ476263

Cristiano Arbex Valle, Nigel Meade, J. E. Beasley

Publication date: 28 November 2014

Published in: Optimization Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11590-013-0714-6

Recommendations

• Factor neutral portfolios
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• Mixed-integer programming approaches for index tracking and enhanced indexation

zbMATH Keywords

market neutral portfoliomixed-integer nonlinear programzero-beta

Mathematics Subject Classification ID

Portfolio theory (91G10) Mixed integer programming (90C11)

Cites Work

• Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
• Statistical arbitrage in the US equities market
• Title not available (Why is that?)

Cited In (4)

• Targeting market neutrality
• Firm value and the impact of operational management
• Enhanced indexing for risk averse investors using relaxed second order stochastic dominance
• Constrained dynamic futures portfolios with stochastic basis

Uses Software

• MINLP
• MINLPLib
• MINOTAUR

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