Long-Short Portfolio Management

摘要: With the freedom to sell short, an investor can benefit from stocks with negative expected returns as well those positive returns. The authors explain that benefits of combining short positions long in a portfolio context, however, depend critically on way is constructed. Only integrated optimization considers returns, risks, and correlations all securities simultaneously maximize investor9s ability trade off risk return for best possible performance. This holds true whether or not long–short managed relative underlying asset class benchmark. Despite incremental costs associated shorting, argue portfolio, its enhanced flexibility, be perform better than long–only based same set insights.