Trimability and fast optimization of long-short portfolios

Financial Analysts Journal

Volumn 62, Issue 2, 2006, Pages 36-46

  Jacobs, Bruce I ^b   Levy, Kenneth N ^a,b   Markowitz, Harry M ^c  

^a CFA ^*

^b Jacobs Levy Equity Management   (United States)

^c Harry Markowitz Co   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33646434232     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v62.n2.4082     Document Type: Article

References (16)

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3. _. 2000. Equity Management: Quantitative Analysis for Stock Selection. New York: McGraw-Hill.
4. _. 2005. Market-Neutral Strategies. Hoboken, NJ: John Wiley.
5. _. Forthcoming 2006. "Enhanced Active Equity Strategies: Relaxing the Long-Only Constraint in the Pursuit of Active Return." Journal of Portfolio Management.
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10. _. 1987. Mean-Variance Analysis in Portfolio Choice and Capital Markets. Cambridge, MA: Basil Blackwell.
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12. _. 1981b. "Sparsity and Piecewise Linearity in Large Portfolio Optimization Problems." In Sparse Matrices and Their Uses. Edited by I.S. Duff. London: Academic Press.
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14. Markowitz, Harry M., Peter Todd, Gan Lin Xu, and Yuji Yamane. 1992. "Fast Computation of Mean-Variance Efficient Sets Using Historical Covariances." Journal of Financial Engineering, vol. 1, no. 2 (September):117-132.
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