Work

The Long and Short on Long-Short

Year: 1997

Type: article

Abstract: By balancing long positions in equity with short positions of roughly equal dollar amount and market sensitivity, it is possible to construct a portfolio whose return is neutralized against overall market moves. Properly constructed, using an integrated optimization process, a long-short portfolio offers advantages over long-only portfolios in enhanced flexibility to pursue return, control risk, and allocate assets. Any additional costs do not outweigh the benefits of such a strategy.

Source: The Journal of Investing

DOI: 10.3905/joi.6.1.73

Authors: Bruce I. Jacobs, Kenneth N. Levy

Institutions: Jacobs Levy Equity Management, Carnegie Mellon University, Columbia University, University of Pennsylvania, Cornell University

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2088025475

FWCI: 3.211

Cites:

Cited by: 28

Related to: 10