Targeting market neutrality

DOI10.1080/14697688.2018.1479066zbMath1420.91424OpenAlexW2582707085MaRDI QIDQ5234304

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

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

portfolio optimizationsystematic riskbeta forecastingshort-horizon forecastingzero-beta portfolios

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

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

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