Dollar-Neutral Portfolio - Weights

3 visualizzazioni (ultimi 30 giorni)
Spyridon Thess
Spyridon Thess il 1 Ott 2018
Modificato: Spyridon Thess il 8 Ott 2018

Could someone please explain how the weights of the Dollar-Neutral Portfolio Optimization work? In the Example, it is calculated that the sum of the weights of the long and short positions is 76.735 and -76.735,respectively. Why don't these positions sum to 100? It says that the long and short positions are obtained from the buy and sell trades relative to the initial portfolio. However, the initial portfolio is composed by equal-weighted long positions. Which are the final weights?

Thank you in advance :)

Accedi per rispondere a questa domanda.

Risposte (0)

Categorie

Scopri di più su Portfolio Optimization and Asset Allocation in Help Center e File Exchange

Tag

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by