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The Journal of Alternative Investments

The Journal of Alternative Investments

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Primary Article

Efficient Portfolios for Alternative Investments

Françoise Charpin and Dominique Lacaze
The Journal of Alternative Investments Spring 2006, 8 (4) 19-25; DOI: https://doi.org/10.3905/jai.2006.627847
Françoise Charpin
Professor at the University of Paris II and OFCE in Paris, France.
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  • For correspondence: fcharpin@u-paris2.fr
Dominique Lacaze
Professor at the University of Paris X-Nanterre in Nanterre cedex, France.
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  • For correspondence: lacaze@u-paris10.fr
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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.

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The Journal of Alternative Investments
Vol. 8, Issue 4
Spring 2006
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Efficient Portfolios for Alternative Investments
Françoise Charpin, Dominique Lacaze
The Journal of Alternative Investments Mar 2006, 8 (4) 19-25; DOI: 10.3905/jai.2006.627847

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Efficient Portfolios for Alternative Investments
Françoise Charpin, Dominique Lacaze
The Journal of Alternative Investments Mar 2006, 8 (4) 19-25; DOI: 10.3905/jai.2006.627847
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