Market neutral portfolios

DOI10.1007/S11590-013-0714-6MaRDI QIDQ476263zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

market neutral portfoliomixed-integer nonlinear programzero-beta

Mathematics Subject Classification ID

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

Recommendations

• Factor neutral portfolios
• Targeting market neutrality
• An optimisation approach to constructing an exchange-traded fund
• Portfolio optimization under long-short constraints
• Mixed-integer programming approaches for index tracking and enhanced indexation

Cites work

• scientific article; zbMATH DE number 5961783 (Why is no real title available?)
• Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
• Statistical arbitrage in the US equities market

Cited in

(5)

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

Describes a project that uses

Uses Software

• MINOTAUR
• MINLPLib
• MINLP

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