Advances in Quantitative Meta-Strategies

39 Pages Posted: 13 May 2015

See all articles by Marcos Lopez de Prado

Marcos Lopez de Prado

AQR Capital Management, LLC; Cornell University - Operations Research & Industrial Engineering; RCC - Harvard University

Date Written: May 10, 2015

Abstract

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

Suggested Citation

López de Prado, Marcos, Advances in Quantitative Meta-Strategies (May 10, 2015). Available at SSRN: https://ssrn.com/abstract=2604812 or http://dx.doi.org/10.2139/ssrn.2604812

Marcos López de Prado (Contact Author)

AQR Capital Management, LLC ( email )

One Greenwich Plaza
Greenwich, CT 06830
United States

HOME PAGE: http://www.aqr.com

Cornell University - Operations Research & Industrial Engineering ( email )

237 Rhodes Hall
Ithaca, NY 14853
United States

HOME PAGE: http://www.orie.cornell.edu

RCC - Harvard University ( email )

1875 Cambridge Street
Cambridge, MA 02138
United States

HOME PAGE: http://www.rcc.harvard.edu

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