Advanced search
Publication Cover
Financial Analysts Journal Volume 62, 2006 - Issue 2
Submit an article Journal homepage
86
Views
40
CrossRef citations to date
0
Altmetric
Portfolio Management

Trimability and Fast Optimization of Long–Short Portfolios

Bruce I. Jacobs Bruce I. Jacobs is principal at Jacobs Levy Equity Management, Florham Park, New Jersey.
,
Kenneth N. Levy Kenneth N. Levy, CFA, is principal at Jacobs Levy Equity Management, Florham Park, New Jersey.
, CFA &
Harry M. Markowitz Harry M. Markowitz is principal at Harry Markowitz Company, San Diego, California.
Pages 36-46 | Published online: 08 Apr 2019

Citations (40)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (4)

Xiangyu Cui, Li Duan & Jiaan Yan. (2015) Classical mean-variance model revisited: pseudo efficiency. Journal of the Operational Research Society 66:10, pages 1646-1655.
Read now
Bruce I. Jacobs, Kenneth N. Levy & Harry M. Markowitz. (2010) Simulating Security Markets in Dynamic and Equilibrium Modes. Financial Analysts Journal 66:5, pages 42-53.
Read now
Bruce I. Jacobs & Kenneth N. Levy. (2007) 20 Myths about Enhanced Active 120–20 Strategies. Financial Analysts Journal 63:4, pages 19-26.
Read now
Stéphanie Desrosiers, Natacha Lemaire & Jean-François L’Her. (2007) Residual Income Approach to Equity Country Selection. Financial Analysts Journal 63:2, pages 76-89.
Read now

Articles from other publishers (36)

John Guerard. (2023) Harry Markowitz: An appreciation. International Journal of Forecasting 39:4, pages 1496-1501.
Crossref
Kiyoharu Tagawa & Yukiko Orito. (2023) Prospect Theory-Based Formulation of Portfolio Optimization Problem using Loan and Its Solution by Multi-Start Local Search. Prospect Theory-Based Formulation of Portfolio Optimization Problem using Loan and Its Solution by Multi-Start Local Search.
John Guerard. (2023) Harry Markowitz: An Appreciation. SSRN Electronic Journal.
Crossref
Maximilian AdelmannLucio Fernandez-ArjonaJanos MayerKarl Schmedders. (2021) A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance Industry. Operations Research 69:4, pages 1134-1157.
Crossref
Tahereh Khodamoradi, Maziar Salahi & Ali Reza Najafi. (2020) Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate. Decisions in Economics and Finance 44:1, pages 197-214.
Crossref
T. Khodamoradi, M. Salahi & A.R. Najafi. (2020) Robust CCMV model with short selling and risk-neutral interest rate. Physica A: Statistical Mechanics and its Applications 547, pages 124429.
Crossref
Joseph Andria, Giacomo di Tollo & Arne Lokketangen. 2018. Financial Decision Aid Using Multiple Criteria. Financial Decision Aid Using Multiple Criteria 113 129 .
Kevin R. Mirabile. 2016. Hedge Fund Investing. Hedge Fund Investing 319 333 .
Bruce I. Jacobs & Kenneth N. Levy. (2014) Ten Investment Insights that Matter. The Journal of Portfolio Management 40:5, pages 60-67.
Crossref
Greg Filbeck, Hunter M. Holzhauer & Xin Zhao. (2014) Using Social Responsibility Ratings to Outperform the Market: Evidence from Long-Only and Active-Extension Investment Strategies . The Journal of Investing 23:1, pages 79-96.
Crossref
Bruce I. Jacobs & Kenneth N. Levy. (2014) Traditional Optimization Is Not Optimal forLeverage-Averse Investors. The Journal of Portfolio Management 40:2, pages 30-40.
Crossref
Bruce I Jacobs & Kenneth N Levy. (2014) Traditional Optimization is Not Optimal for Leverage-Averse Investors. The Journal of Portfolio Management, pages 140117004203009.
Crossref
Bruce I. Jacobs & Kenneth N. Levy. (2013) INVITED EDITORIAL COMMENT. The Journal of Portfolio Management 40:1, pages 1-5.
Crossref
Manuel Tarrazo & Ricardo Úbeda. (2011) Minimum-variance versus tangent portfolios – A note. Journal of Asset Management 13:3, pages 186-195.
Crossref
. 2012. Hedge Fund Investing. Hedge Fund Investing 115 163 .
G.A. Vijayalakshmi Pai & Thierry Michel. (2012) INTEGRATED METAHEURISTIC OPTIMIZATION OF 130-30 INVESTMENT-STRATEGY-BASED LONG-SHORT PORTFOLIOS. Intelligent Systems in Accounting, Finance and Management 19:1, pages 43-74.
Crossref
Gary L. Gastineau. 2010. The Exchange‐Traded Funds Manual. The Exchange‐Traded Funds Manual 303 311 .
Necmi K. Avkiran & Hiroshi Morita. (2010) Predicting Japanese bank stock performance with a composite relative efficiency metric: A new investment tool. Pacific-Basin Finance Journal 18:3, pages 254-271.
Crossref
Yue Qi, Xiaofeng Peng & Ming Li. (2010) Removing the necessity of simplifications in large‐scale portfolio selection and implications to Chinese portfolio theory and management. Nankai Business Review International 1:1, pages 20-38.
Crossref
James H. Vander Weide. 2010. Handbook of Portfolio Construction. Handbook of Portfolio Construction 153 177 .
John B. GuerardJr.Jr.. 2010. Handbook of Portfolio Construction. Handbook of Portfolio Construction 61 96 .
John B. GuerardJr.Jr., Sundaram Chettiappan & GanLin Xu. 2010. Handbook of Portfolio Construction. Handbook of Portfolio Construction 621 648 .
Bruce I. Jacobs & Kenneth N. Levy. 2010. Handbook of Portfolio Construction. Handbook of Portfolio Construction 529 550 .
Yue Qi, Bin Zhou & Zeshi Wang. (2009) Empirically Analyzing Mean-Variance Efficiency and Diversification Contradiction by Chinese Stock Markets. Empirically Analyzing Mean-Variance Efficiency and Diversification Contradiction by Chinese Stock Markets.
Martin L. Leibowitz, Simon Emrich & Anthony BovaBruce I. Jacobs & Kenneth N. Levy. 2008. Modern Portfolio Management. Modern Portfolio Management 413 427 .
Bruce I. Jacobs & Kenneth N. Levy. 2008. Handbook of Finance. Handbook of Finance.
Gary L. Gastineau. (2008) The Short Side of 130/30 Investing. The Journal of Portfolio Management 34:2, pages 39-52.
Crossref
Andrew W. Lo & Pankaj N. Patel. (2008) 130/30. The Journal of Portfolio Management 34:2, pages 12-38.
Crossref
Yanwu Liu, Zhongzhen Zhang, Feng Xiong & Liu Fang. (2008) A Parametric Algorithm for Long-Short Portfolio Optimization. A Parametric Algorithm for Long-Short Portfolio Optimization.
Harry M. Markowitz & Erik Van Dijk. 2008. Handbook of Asset and Liability Management. Handbook of Asset and Liability Management 139 197 .
Bruce I. Jacobs & Kenneth N. Levy. (2007) Enhanced Active Equity Portfolios Are Trim Equitized Long-Short Portfolios. The Journal of Portfolio Management 33:4, pages 19-25.
Crossref
Harry M. Markowitz & Erik van Dijk. 2006. Theory and Methodology. Theory and Methodology 139 197 .
Maximilian Adelmann, Lucio Fernandez Arjona, Janos Mayer & Karl Schmedders. (2016) A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance Industry. SSRN Electronic Journal.
Crossref
Richard O. Michaud & Robert Michaud. (2007) Estimation Error and Portfolio Optimization: A Resampling Solution. SSRN Electronic Journal.
Crossref
Maxim Golts & Gregory C. Jones. (2009) A Sharper Angle on Optimization. SSRN Electronic Journal.
Crossref
Ritesh Kumar, Gautam Mitra & Diana Roman. (2008) Long-Short Portfolio Optimisation in the Presence of Discrete Asset Choice Constraints and Two Risk Measures. SSRN Electronic Journal.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.