Market neutral portfolios

DOI10.1007/s11590-013-0714-6zbMath1308.90113OpenAlexW1991355161MaRDI QIDQ476263

Cristiano Arbex Valle, Nigel Meade, John E. Beasley

Publication date: 28 November 2014

Published in: Optimization Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11590-013-0714-6

zbMATH Keywords

market neutral portfoliomixed-integer nonlinear programzero-beta

Mathematics Subject Classification ID

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

Related Items (3)

Enhanced indexing for risk averse investors using relaxed second order stochastic dominance ⋮ Constrained dynamic futures portfolios with stochastic basis ⋮ Firm value and the impact of operational management

Uses Software

• MINLP
• MINLPLib
• MINOTAUR

Cites Work

• Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
• Statistical arbitrage in the US equities market
• Unnamed Item

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