Alice C. Tjahja

UNSW Australia Business School, School of Banking and Finance

Sydney, NSW 2052

Australia

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Scholarly Papers (1)

1.

Targeting Market Neutrality

UNSW Business School Research Paper
Number of pages: 31 Posted: 20 Jan 2017 Last Revised: 15 Sep 2017
John B. Lee, Jonathan J. Reeves, Alice C. Tjahja and Xuan Xie
University of Auckland, UNSW Business School, University of New South Wales, UNSW Australia Business School, School of Banking and Finance and Commonwealth Bank of Australia
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Abstract:

Beta forecasting, portfolio optimization, short-horizon forecasting