On the optimality of long-short strategies

Financial Analysts Journal

Volumn 54, Issue 2, 1998, Pages 40-51

  Jacobs, Bruce I ^a   Levy, Kenneth N ^a   Starer, David ^a  

^a Jacobs Levy Equity Management   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0009437543     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v54.n2.2164     Document Type: Article

References (17)

1. Arnott, Robert D., and David J. Leinweber. 1994. "Long-Short Strategies Reassessed." Letter to the editor. Financial Analysts Journal, vol. 50, no. 5 (September/October):76-80.
2. Black, Fischer. 1972. "Capital Market Equilibrium with Restricted Borrowing." Journal of Business, vol. 45, no. 3 (July):444-55.
3. Brush, John S. 1997. "Comparisons and Combinations of Long and Long/Short Strategies." Financial Analysis Journal, vol. 53, no. 3 (May/June):81-89.
4. Elton, Edwin J., Martin J. Gruber, and Manfred W. Padberg. 1976. "Simple Criteria for Optimal Portfolio Selection." Journal of Finance, vol. 31, no. 5 (December):1341-57.
5. Jacobs, Bruce I., and Kenneth N. Levy. 1995. "More on Long-Short Strategies." Letter to the editor. Financial Analysts Journal, vol. 51, no. 2 (March/April):88-90.
6. _. 1996a. "Residual Risk: How Much Is Too Much?" Journal of Portfolio Management, vol. 22, no. 3 (Spring):10-15.
7. _. 1996b. "20 Myths about Long-Short." Financial Analysts Journal, vol. 52, no. 5 (September/October):81-85.
8. _. 1997. "The Long and Short on Long-Short." Journal of Investing, vol. 6, no. 1 (Spring):73-86.
9. Kailath, Thomas. 1980. Linear Systems. Englewood Cliffs, NJ: Prentice-Hall.
10. Levy, H., and Harry Markowitz. 1979. "Approximating Expected Utility by a Function of Mean and Variance." American Economic Review, vol. 69, no. 3 (June):308-17.
11. Magnus, Jan R., and Heinz Neudecker. 1988. Matrix Differential Calculus with Applications in Statistics and Econometrics. Chichester, U.K.: John Wiley & Sons.
12. Markowitz, Harry. 1952. "Portfolio Selection." Journal of Finance, vol. 7, no. 1 (March):77-91.
13. Michaud, Richard O. 1993. "Are Long-Short Equity Strategies Superior?" Financial Analysts Journal, vol. 49, no. 6 (November/ December):44-49.
14. Sharpe, William F. 1991. "Capital Asset Prices with and without Negative Holdings." Journal of Finance, vol. 46, no. 2 (June):489-509.
15. _. 1994. "The Sharpe Ratio." Journal of Portfolio Management, vol. 21, no. 1 (Fall):49-58.
16. Treynor, Jack L., and Fischer Black. 1973. "How to Use Security Analysis to Improve Portfolio Selection." Journal of Business, vol. 46, no. 1 (January):66-86.
17. von Neumann, John, and Oskar Morgenstern. 1944. Theory of Games and Economic Behavior. Princeton, NJ: Princeton University Press.