Engineering investment process : making value creation repeatable /

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,...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Ielpo, Florian (Autor), Merhy, Chafic (Autor), Simon, Guillaume (Autor)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: London : Oxford : ISTE Press Ltd ; Elsevier, [2017]
Colección:Quantitative finance set.
Temas:
Investments.
Investissements.
portfolios (financial records)
BUSINESS & ECONOMICS > Finance.
Investments
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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.

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