2023
DOI: 10.26713/cma.v14i3.2456
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An Adaptive Heuristic Approach to Optimize Equity Market Neutral Portfolio

Naga Sunil Kumar Gandikota,
Mohd Hilmi Hasan,
Jafreezal Jaafar

Abstract: An Equity Market Neutral Portfolio (EMNP) safeguards a safe portfolio concerning exposure to pertinent market benchmarks. Although it is possible to efficiently solve the problem of EMNP optimization through linear programming techniques, combining the risk budget constraint of risky assets with other constraints of EMNP where there is no market exposure, leveraging, or portfolio beta makes it challenging to resolve this problem via conventional approaches directly. This study aims to propose a novel technique… Show more

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