I wonder if beta hedging the way supported by optimize API FactorExposure constraint is the right way to go about it. Say we have 50 securities with different betas to factors (assume factors are tradeable).
That means if we go long X dollars in security 1 we short X dollars multiplied by corresponding betas of factors to hedge it.
Now consider the situation where we hedge betas using FactorExposure. In this case, the exposure of the total portfolio to each factor is zero. However, that does not necessarily mean that each security is completely hedged.
Is my understanding correct? If I want to hedge each security in the portfolio how to go about it with optimize API?