Paper Info
Title
Market neutral portfolios.
Abstract
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 underlying market as represented by a benchmark index. We formulate this problem as a mixed-integer nonlinear program, minimising the absolute value of the correlation between portfolio return and index return. Our model is a flexible one that incorporates decisions as to both long and short positions in assets. Computational results, obtained using the software package Minotaur, are given for constructing market neutral portfolios for eleven different problem instances derived from universes defined by S&P international equity indices. We also compare our approach against an alternative approach based on minimising the absolute value of regression slope (the zero-beta approach).
Year
DOI
Venue
2014
10.1007/s11590-013-0714-6
Optimization Letters
Keywords
Field
DocType
Market neutral portfolio, Mixed-integer nonlinear program, Zero-beta
Capital market line,Mathematical optimization,Regression,Absolute value,Market neutral,Portfolio,Portfolio optimization,Rate of return on a portfolio,Equity (finance),Mathematics
Journal
Volume
Issue
ISSN
8
7
1862-4480
Citations 
PageRank 
References 
0
0.34
2
Authors
3
Name
Order
Citations
PageRank
Cristiano Arbex Valle1404.90
N Meade235726.38
J. E. Beasley331520.29