Factor neutral portfolios

DOI10.1007/s00291-015-0392-0zbMath1323.91042OpenAlexW2011477255MaRDI QIDQ747746

Cristiano Arbex Valle, John E. Beasley, 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

zbMATH Keywords

quantile regressionportfolio constructionfactor neutral portfolioFama and French three-factor model

Mathematics Subject Classification ID

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

Related Items (1)

Optimal construction and rebalancing of index-tracking portfolios

Uses Software

• CPLEX
• quantreg

Cites Work

• Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
• A heuristic algorithm for a portfolio optimization model applied to the Milan stock market
• Portfolio rebalancing model with transaction costs based on fuzzy decision theory
• Twenty years of linear programming based portfolio optimization
• Statistical arbitrage in the US equities market
• Regression Quantiles
• Common risk factors in the returns on stocks and bonds
• Selecting portfolios with fixed costs and minimum transaction lots
• Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints
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