Dynamic margining long/short equity trading strategies
A repo haircut model extends a previous solution for long-only strategies
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Repo funding for buying and securities lending for shorting does not net off a financing neutrality. Wujiang Lou develops a quantitative model for computing the dynamic margin of a long/short portfolio by taking into account each stock’s beta and hedge funds’ creditworthiness, in order to enhance a typical broker’s rule-based netting or value-at-risk-based long/short netting for dynamic margin
Long/short portfolio trading is the most classic arbitrage trading
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