Engineering Investment Process

Making Value Creation Repeatable

Florian Ielpo, Chafic Merhy, Guillaume Simon (Autoren)

Buch | Hardcover

430 Seiten

2017
ISTE Press Ltd - Elsevier Inc (Verlag)
978-1-78548-162-8 (ISBN)

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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.

Florian Ielpo is Head of Macro Research at Unigestion and associate researcher at University of Paris 1 in France. Chafic Merhy is Head of Credit Quantitative Research at Natixis Asset Management. He is also a lecturer at University Paris IX Dauphine. Guillaume Simon is Research Manager in Equity Statistical Arbitrage for Capital Fund Management.

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

Erscheinungsdatum	25.03.2017
Sprache	englisch
Maße	152 x 229 mm
Gewicht	840 g
Themenwelt	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
ISBN-10	1-78548-162-2 / 1785481622
ISBN-13	978-1-78548-162-8 / 9781785481628
Zustand	Neuware