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Financial Analysts Journal Volume 62, 2006 - Issue 2
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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

References

  • Cohen, K.J., and J.A. Pogue. 1967. “An Empirical Evaluation of Alternative Portfolio Selection Models.” Journal of Business, vol. 40, no. 2 (April): 166–193.
  • Jacobs, Bruce I., and Kenneth N. Levy. 1993. “The Generality of Long–Short Equitized Strategies: A Correction.” (letter in response to C.B. Garcia and F.G. Gould, “The Generality of Long–Short Equitized Strategies,” Financial Analysts Journal, September/October 1992). Financial Analysts Journal, vol. 49, no. 2 (March/April): 22.
  • Jacobs, Bruce I., and Kenneth N. Levy. 2000. Equity Management: Quantitative Analysis for Stock Selection. New York: McGraw-Hill.
  • Jacobs, Bruce I., and Kenneth N. Levy. 2005. Market-Neutral Strategies. Hoboken, NJ: John Wiley.
  • Jacobs, Bruce I., and Kenneth N. Levy. Forthcoming 2006. “Enhanced Active Equity Strategies: Relaxing the Long–Only Constraint in the Pursuit of Active Return.” Journal of Portfolio Management.
  • Jacobs, Bruce I., Kenneth N. Levy, and Harry M. Markowitz. 2005. “Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions.” Operations Research, vol. 53, no. 4 (July/August): 586–599.
  • Jacobs, Bruce I., Kenneth N. Levy, and David Starer. 1998. “On the Optimality of Long–Short Strategies.” Financial Analysts Journal, vol. 54, no. 2 (March/April): 40–51.
  • Jacobs, Bruce I., Kenneth N. Levy, and David Starer. 1999. “Long–Short Portfolio Management: An Integrated Approach.” Journal of Portfolio Management, vol. 25, no. 2 (Winter): 23–32.
  • Markowitz, Harry M.. 1959. Portfolio Selection: Efficient Diversification of Investments. New York: John Wiley & Sons 2nd ed., 1991. Cambridge, MA: Basil Blackwell.
  • Markowitz, Harry M.. 1987. “Mean–Variance Analysis in Portfolio Choice and Capital Markets.”Cambridge, MA: Basil Blackwell.
  • Markowitz, Harry M., and André F. Perold. 1981. “Portfolio Analysis with Factors and Scenarios.” Journal of Finance, vol. 36, no. 4 (September): 871–877.
  • Markowitz, Harry M., and André F. Perold. 1981. “Sparsity and Piecewise Linearity in Large Portfolio Optimization Problems.” Sparse Matrices and Their Uses Edited by I.S. Duff.London: Academic Press.
  • Markowitz, Harry M., and Peter Todd. 2000. Mean–Variance Analysis in Portfolio Choice and Capital Markets (revised reissue of Markowitz 1987 with chapter by Peter Todd)New Hope, PA: Frank J. Fabozzi Associates.
  • Markowitz, Harry M., Peter Todd, Gan Lin Xu, and Yuji Yamane. 1992. “Fast Computation of Mean–Variance Efficient Sets Using Historical Covariances.” Journal of Financial Engineering, vol. 1, no. 2 (September): 117–132.
  • Perold, André F.. 1984. “Large-Scale Portfolio Optimization.” Management Science, vol. 30, no. 10 (October): 1143–1160.
  • Sharpe, William F.. 1963. “A Simplified Model for Portfolio Analysis.” Management Science, vol. 9, no. 2 (January): 277–293.

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