Before revision:  Our setup is based on a general statistically-constructed factor model with mean-reverting residuals, in which we show how to construct analytically market-neutral portfolios and we analyze the problem of investing both in continuous time and along a discrete sequence of optimally chosen deterministic times, with different utilities and finite horizon .
After revision:  Our setup is based on a general statistically-constructed factor model with mean-reverting residuals, in which we show how to construct analytically market-neutral portfolios and we analyze the problem of investing both in continuous time and finite horizon under exponential and mean-variance utilities .