Market neutral portfolios
CA Valle, N Meade, JE Beasley - Optimization Letters, 2014 - Springer
In this paper we consider the problem of constructing a market neutral portfolio. This is a
portfolio of financial assets that (ideally) exhibits performance independent from that of an …
portfolio of financial assets that (ideally) exhibits performance independent from that of an …
Using social responsibility ratings to outperform the market: evidence from long-only and active-extension investment strategies
G Filbeck, HM Holzhauer, X Zhao - The Journal of Investing, 2014 - joi.pm-research.com
In this article, the authors use KLD Research and Analytics (KLD) rankings from 1991 to
2009 to create three long-only portfolios: high-ranking “Top” stocks,“Shunned” stocks, and …
2009 to create three long-only portfolios: high-ranking “Top” stocks,“Shunned” stocks, and …
130/30: By how much will the information ratio improve?
R Tol, C Wanningen - Journal of Portfolio management, 2011 - search.proquest.com
In this article, Tol and Wanningen aim to quantify empirically how much the information ratio
may improve for a 130/30 extension strategy versus a long-only strategy. The authors …
may improve for a 130/30 extension strategy versus a long-only strategy. The authors …
Investing in Hedge Funds
HM Holzhauer - Alternative Investments: Instruments …, 2013 - Wiley Online Library
This chapter provides an introduction into the extensive field of hedge fund investing, which
has grown over the last 60 years to become a major influence on the financial markets. As …
has grown over the last 60 years to become a major influence on the financial markets. As …
Portfolio optimisation models
C Arbex Valle - 2013 - bura.brunel.ac.uk
In this thesis we consider three different problems in the domain of portfolio optimisation.
The first problem we consider is that of selecting an Absolute Return Portfolio (ARP). ARPs …
The first problem we consider is that of selecting an Absolute Return Portfolio (ARP). ARPs …
El uso de la cointegración como medida para la selección de títulos en carteras de seguimiento
R Armas Herrera - 2014 - accedacris.ulpgc.es
En un trabajo pionero, Alexander y Dimitriu (2005) proponen una nueva metodología para
el seguimiento de índices. La calidad de la cartera de seguimiento depende del …
el seguimiento de índices. La calidad de la cartera de seguimiento depende del …