Questions tagged [market-neutral]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
0 votes
1 answer
115 views

When / how do I vol-scale portfolio weights when optimizing the portfolio?

I have a set of portfolio weights $w$. I'm using cvxpy to optimise the portfolio sharpe, subject to a set of constraints. $$ \text{maximize} \hspace{10mm} \mu^Tw - ...
0 votes
0 answers
79 views

Dollar-neutral "concave" equity strategies

In the following I'm referring to "concave" strategies in the broader sense of equity strategies whose profits are smaller and more frequent than the losses. Basic examples: mean-reverting ...
  • 2,046
0 votes
1 answer
383 views

How to get the weights for a beta neutral portfolio?

Given a ranking of 100 long stocks and 100 short stocks. Looking at these 200 betas: How can I find the optimal weights to get a beta = 0 long/short portfolio?
0 votes
0 answers
99 views

Market neutral without short selling

Would it be possible to design a market neutral strategy without short selling? According to Investopedia: Market-neutral strategies are often attained by taking matching long and short ...
0 votes
1 answer
1k views

How to implement industry neutralization?

How do you implement industry neutralization in S&P top 3000/top200? Market neutralization is straightforward but how do you assigns weights to the industries and then to stocks in it?
3 votes
1 answer
1k views

Dollar-Neutral in addition to Market-Neutral?

What is the point/benefit of using a dollar-neutral strategy in addition to a Beta-neutral strategy? What exactly does a dollar-neutral strategy buy the investor? What's useful about balancing long ...
  • 331
2 votes
0 answers
121 views

References about market neutral portfolios that isolate unsystematic risk

I am looking for references, information, backtests etc. about market neutral portfolios that go long the index and short stocks of that index with high unsystematic (idiosyncratic) risk. The idea is ...
  • 27k