Factor neutral portfolios

DOI10.1007/S00291-015-0392-0MaRDI QIDQ747746zbMATH OpenOpenAlexFDO

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

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

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

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Cites work

• scientific article; zbMATH DE number 5961783 (Why is no real title available?)
• scientific article; zbMATH DE number 2061975 (Why is no real title available?)
• A heuristic algorithm for a portfolio optimization model applied to the Milan stock market
• Common risk factors in the returns on stocks and bonds
• Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
• Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints
• Portfolio rebalancing model with transaction costs based on fuzzy decision theory
• Regression Quantiles
• Selecting portfolios with fixed costs and minimum transaction lots
• Statistical arbitrage in the US equities market
• Twenty years of linear programming based portfolio optimization

Cited in

(3)

• Neural network-based automatic factor construction
• Optimal construction and rebalancing of index-tracking portfolios
• Market neutral portfolios

Describes a project that uses

Uses Software

• quantreg
• CPLEX

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