Advances in Quantitative Meta-Strategies
39 Pages Posted: 13 May 2015
Date Written: May 10, 2015
Quantitative Meta-Strategies (QMS) are quantitative strategies designed to manage investment strategies. As a field, QMS is the mathematical study of the decisions made by the supervisor of a team of investment managers, regardless of whether their investment style is systematic or discretionary.
Keywords: Multiple testing, performance evaluation, decision theory, structural break, stop-out, strategy selection.
JEL Classification: G0, G1, G2, G15, G24, E44
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