A note on market-neutral portfolio selection |
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Affiliation: | 1. Department of Biochemistry, Chonbuk National University Medical School, Jeonju, Jeonbuk 54896, Republic of Korea;2. Clinical Trial Center for Functional Foods, Chonbuk National University Hospital, Jeonju, Jeonbuk 54907, Republic of Korea;3. Department of Molecular Biology, Chonbuk National University, Jeonju, Jeonbuk 54896, Republic of Korea;4. Oriental Medicine Bio-Technical Fusion Center, Daejeon University Industry Academic Cooperation Foundation, Daejeon 30520, Republic of Korea;5. Department of Pharmacology, Chonbuk National University Medical School, Jeonju, Jeonbuk 54896, Republic of Korea;6. Department of Surgery, Chonbuk National University Medical School, Jeonju, Jeonbuk 54896, Republic of Korea;1. Department of Risk Management and Insurance, Georgia State University, United States;2. Department of Statistics, London School of Economics, United Kingdom;1. Grupo de Vasculares de la Sociedad Neurológica Argentina, Buenos Aires, Argentina;2. Vicepresidente de la Sociedad Neurológica Argentina, Buenos Aires, Argentina;1. Faculty of Physics, Adam Mickiewicz University, Umultowska 85, 61–614 Poznań, Poland;2. Department of Physics, Dokuz Eylül University, 35160 İzmir, Turkey;3. Department of Physics, Akdeniz University, 07058 Antalya, Turkey;4. Institute of Science, Dokuz Eylül University, 35160 İzmir, Turkey |
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Abstract: | Long–short equity strategies allow investors to benefit potentially from both undervalued and overvalued securities. The present study develops a normative portfolio model under the practical conditions that a market-neutral strategy entails. The offsetting long and short equity holdings are established jointly and without any constraints by the underlying market index. While accurately capturing institutional procedures for short selling, the model contains the analytical and economic properties as required for a ranking approach to filter out any undesirable securities under consideration. In view of its practical features, the analysis should be of interest to practitioners for assisting their long–short investment decisions. |
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