Dollar-Neutral Portfolio - Weights

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Spyridon Thess
Spyridon Thess le 1 Oct 2018
Modifié(e) : Spyridon Thess le 8 Oct 2018

Could someone please explain how the weights of the Dollar-Neutral Portfolio Optimization work? In the Example, it is calculated that the sum of the weights of the long and short positions is 76.735 and -76.735,respectively. Why don't these positions sum to 100? It says that the long and short positions are obtained from the buy and sell trades relative to the initial portfolio. However, the initial portfolio is composed by equal-weighted long positions. Which are the final weights?

Thank you in advance :)

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