Long-Short Portfolio Management

@inproceedings{Jacobs1999LongShortPM,
  title={Long-Short Portfolio Management},
  author={Bruce I. Jacobs and Kenneth N. Levy and David Starer},
  year={1999}
}
With the freedom to sell short, an investor can benefit from stocks with negative expected returns as well as from those with positive expected returns. The authors explain that the benefits of combining short positions with long positions in a portfolio context, however, depend critically on the way the portfolio is constructed. Only an integrated optimization that considers the expected returns, risks, and correlations of all securities simultaneously can maximize the investor's ability to… 
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, and David Starer . “ On the Optimality of Long - Short Strategies . ” Financial Analysts Journal , March / April 1998 . Markowitz , Harry . “ Portfolio Selection
Levy , and David Starer . “ On the Optimality of Long - Short Strategies . ” Financial Analysts Journal , March / April 1998 . Markowitz , Harry . “ Portfolio Selection
Portfolio Selection
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