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Engineering Investment Process
Florian IelpoChafic MerhyGuillaume Simon
其他書名
Making Value Creation Repeatable
出版Elsevier, 2017-03-22
主題Business & Economics / Investments & Securities / GeneralBusiness & Economics / Personal Finance / Money Management
ISBN00810114829780081011485
URLhttp://books.google.com.hk/books?id=OEoADQAAQBAJ&hl=&source=gbs_api
EBookSAMPLE
註釋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. - Blends academic research with practical experience from quants, fund managers, and economists - Puts financial mathematics and econometrics in their rightful place - Presents useful information that will increase the reader's understanding of markets - Clearly provides both the global framework, the investment process, and the useful econometric and financial tools that help in its construction - Includes efficient tools taken from up-to-date econometric and financial techniques