Long–short equity strategies allow investors to benefit potentially from both undervalued and overvalued securities. The present study develops a normative portfolio model under the practical conditions that a market-neutral strategy entails. The offsetting long and short equity holdings are established jointly and without any constraints by the underlying market index. While accurately capturing institutional procedures for short selling, the model contains the analytical and economic properties as required for a ranking approach to filter out any undesirable securities under consideration. In view of its practical features, the analysis should be of interest to practitioners for assisting their long–short investment decisions.