Enhanced active equity portfolios are trim equitized long-short portfolios

Journal of Portfolio Management

Volumn 33, Issue 4, 2007, Pages

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

^a Jacobs Levy Equity Management   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 34548165781     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.2007.690601     Document Type: Review

References (4)

1. Jacobs, Bruce I., and Kenneth N. Levy. "Alpha Transport With Derivatives." The Journal of Portfolio Management, May 1999, pp. 55-60.
2. _. "Enhanced Active Equity Strategies: Relaxing the Long-Only Constraint in the Pursuit of Active Return." The Journal of Portfolio Management, Spring 2006, pp. 45-55.
3. Jacobs, Bruce I., Kenneth N. Levy, and Harry M. Markowitz. "Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions." Operations Research, July/August 2005, pp. 586-599.
4. _. "Trimability and Fast Optimization of Long-Short Portfolios." Financial Analysts Journal, March/April 2006, pp. 36-46.