| Description |
1 online resource |
| Series |
Quantitative Finance Set |
|
Quantitative finance set
|
| Contents |
Front Cover -- Engineering Investment Process: Making Value Creation Repeatable -- Copyright -- Contents -- Foreword -- Preface -- Introduction -- List of Acronyms -- 1. Understanding the Investment Universe -- 1.1. Introduction -- 1.2. Computing returns -- 1.3. Moment estimation -- 1.4. The time series properties of returns -- 1.5. Modeling financial returns and why it matters to an investment process -- 1.6. Living in a world of factors -- 2. Dealing with Risk Factors -- 2.1. Dependence among markets -- 2.2. Linear factor models -- 2.3. Risk factor dynamics: the state-space modeling framework -- 2.4. The liquidity risk factor -- 2.5. Implications of low rates on risk modeling in fixed-income markets -- 3. Active Portfolio Construction -- 3.1. Introduction -- 3.2. A theoretical toolbox for allocation -- 3.3. A focus on mean-variance -- 3.4. Spectral insights for allocation -- 3.5. Allocating using views -- 3.6. Allocating without views -- 3.7. Dynamic trading -- 4. Backtesting and Statistical Significance of Performance -- 4.1. Introduction -- 4.2. Backtesting -- 4.3. Performance statistics -- 4.4. Statistical significance of performance -- 5. Gauging Economic Influences on Quantitative Strategies -- 5.1. A tale of three strategies -- 5.2. Building economic condition indices -- 5.3. Relating business conditions to market performances -- 5.4. The impact of economic information on a strategy's performance -- Appendix -- A.1. Useful formulas -- A.2. Diversification measures -- A.3. A brief introduction to inverse problems -- A.4. Tables from Chapter 5 -- Conclusion -- Bibliography -- Index -- Back Cover |
| Summary |
Engineering Investment Process: Making Value Creation Repeatable explores the quantitative steps of a financial investment process. The authors study how these steps are articulated in order to make any value creation, whatever the asset class, consistent and robust. The discussion includes factors, portfolio allocation, statistical and economic backtesting, but also the influence of negative rates, dynamical trading, state-space models, stylized facts, liquidity issues, or data biases. Besides the quantitative concepts detailed here, the reader will find useful references to other works to develop an in-depth understanding of an investment process |
| Bibliography |
Includes bibliographical references and index |
| Notes |
Online resource; title from PDF title page (EBSCO, viewed March 29, 2017) |
| Subject |
Investments.
|
|
portfolios (financial records)
|
|
BUSINESS & ECONOMICS -- Finance.
|
|
Investments
|
| Form |
Electronic book
|
| Author |
Merhy, Chafic, author
|
|
Simon, Guillaume, author
|
| ISBN |
9780081011485 |
|
0081011482 |
|
