Factor neutral portfolios

DOI10.1007/S00291-015-0392-0zbMATH Open1323.91042OpenAlexW2011477255MaRDI QIDQ747746FDOQ747746

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

Publication date: 19 October 2015

Published in: OR Spectrum (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00291-015-0392-0

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zbMATH Keywords

quantile regressionportfolio constructionfactor neutral portfolioFama and French three-factor model

Mathematics Subject Classification ID

Linear programming (90C05) Portfolio theory (91G10) Mixed integer programming (90C11)

Cites Work

• Regression Quantiles
• Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
• Common risk factors in the returns on stocks and bonds
• Twenty years of linear programming based portfolio optimization
• Selecting portfolios with fixed costs and minimum transaction lots
• Title not available (Why is that?)
• Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints
• Portfolio rebalancing model with transaction costs based on fuzzy decision theory
• Statistical arbitrage in the US equities market
• Title not available (Why is that?)
• A heuristic algorithm for a portfolio optimization model applied to the Milan stock market

Cited In (1)

• Optimal construction and rebalancing of index-tracking portfolios

Uses Software

• CPLEX
• quantreg

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