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Optimized value of Beta and $ nuetrality in short/long portfolio - Intersting article

The article come to answer:

  1. Under which conditions wil a net holiding of zero (i.e. dollar nuetrality) be optimal for short-long portfolio? generally if the returns of the securities in that portfolio weights from the deviation from the averageis sum to zero. selecting such securities that meet this condition with zero dollar nuetrality, will be results optimal portfolio.
  2. Under which conditions wil the combined optimal holdings in short/long portfolio be Beta netural ?

wonder if this worth anything

full article here

1 response

I pulled out some notes:

  • Dollar neutral is only optimal only under "specific unlikely conditions"

  • "Equation 13 formalizes the simple intuitive notion that you should be net long if you expect the market as a whole to go up and net short if you expect it to go down!"