Efficient Portfolios for Alternative Investments

Abstract

In this article, mean-variance optimization is used to construct efficient market-neutral portfolios as well as equity long/short portfolios. The methodology takes into account the specific aspects of these strategy constructions. Using a sample of stocks, the methodology is used to construct market-neutral and long-short portfolios and the performance of each is examined.

TOPICS: Real assets/alternative investments/private equity, security analysis and valuation, portfolio construction, performance measurement