Engineering Investment Process
Beschreibung:
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.
1. Understanding the Investment Universe 2. Dealing with Risk Factors 3. Active Portfolio Construction 4. Backtesting and Statistical Significance of Performance 5. Gauging Economic Influences on Quantitative Strategies