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OR Spectrum
Erschienen in: OR Spectrum 4/2015

01.10.2015 | Regular Article

Factor neutral portfolios

verfasst von: C. A. Valle, N. Meade, J. E. Beasley

Erschienen in: OR Spectrum | Ausgabe 4/2015

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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.
Nächster Artikel Buffer allocation in stochastic flow lines via sample-based optimization with initial bounds

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Metadaten
Titel
Factor neutral portfolios
verfasst von
C. A. Valle
N. Meade
J. E. Beasley
Publikationsdatum
01.10.2015
Verlag
Springer Berlin Heidelberg
Erschienen in
OR Spectrum / Ausgabe 4/2015
Print ISSN: 0171-6468
Elektronische ISSN: 1436-6304
DOI
https://doi.org/10.1007/s00291-015-0392-0

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