Targeting market neutrality

DOI10.1080/14697688.2018.1479066MaRDI QIDQ5234304zbMATH OpenOpenAlexFDO

Authors John B. Lee, Jonathan J. Reeves, Alice C. Tjahja, Xuan Xie

Publication date 26 September 2019

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2018.1479066

zbMATH Keywords

beta forecastingportfolio optimizationshort-horizon forecastingsystematic riskzero-beta portfolios

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• Jumps and betas: a new framework for disentangling and estimating systematic risks
• Modeling and Forecasting Realized Volatility
• Realized beta: persistence and predictability

Cited in

(2)

• Market neutral portfolios
• Factor neutral portfolios

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