Engineering Investment Process

Making Value Creation Repeatable
Erscheinungsjahr 2017
ISBN: 978-1-78548-162-8
Verlag: ISTE Press Ltd - Elsevier Inc

Buch, Englisch, 430 Seiten, Format (B × H): 236 mm x 162 mm, Gewicht: 786 g

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.

Autoren/Hrsg.

Ielpo, Florian

Merhy, Chafic

Simon, Guillaume

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere

Inhaltsverzeichnis

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

Über Autor(innen)

Merhy, Chafic
Chafic Merhy is Head of Credit Quantitative Research at Natixis Asset Management. He is also a lecturer at University Paris IX Dauphine.

Simon, Guillaume
Guillaume Simon is Research Manager in Equity Statistical Arbitrage for Capital Fund Management.

Ielpo, Florian
Florian Ielpo is Head of Macro Research at Unigestion and associate researcher at University of Paris 1 in France.