Name
Abstract | ||
|---|---|---|
In this paper, we consider the problem of constructing a factor neutral portfolio (FNP). This is a portfolio of financial assets that exhibits performance independent from a number of underlying factors. We formulate this problem as a mixed-integer linear program, minimising the time-averaged absolute value factor contribution to portfolio return. In this paper, we investigate both ordinary (least-squares, mean) regression and quantile regression, specifically median regression, to estimate factor coefficients. Computational results are given for constructing FNPs using stocks drawn from the Standard and Poor’s 500 index. |
Year | DOI | Keywords |
|---|---|---|
2015 | 10.1007/s00291-015-0392-0 | Factor neutral portfolio, Fama and French three-factor model, Portfolio construction, Quantile regression |
Field | DocType | Volume |
Econometrics,Economics,Regression,Modern portfolio theory,Portfolio,Post-modern portfolio theory,Portfolio optimization,Rate of return on a portfolio,Linear programming,Quantile regression | Journal | 37 |
Issue | ISSN | Citations |
4 | 1436-6304 | 0 |
PageRank | References | Authors |
0.34 | 11 | 3 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Cristiano Arbex Valle | 1 | 40 | 4.90 |
| N Meade | 2 | 357 | 26.38 |
| J. E. Beasley | 3 | 315 | 20.29 |