Advanced Quantitative Equity Portfolio Management System
5 Pages Posted: 10 Mar 2020
Date Written: February 9, 2020
Portfolio management is both complex and simple. It involves many steps and processes that leads to intended results: delivering excess returns within some risk budget. Each steps and processes is important and one needs to look at and improve each sub-system. Such Quantitative Equity Portfolio Management Systems require an extensive factor database, alpha forecasting system, risk modeling system, portfolio construction/optimization, risk monitoring, performance attribution, transaction cost modelling, and backtesting.
Keywords: Alpha, optimization, risk model, Alpha-risk factor alignment, custom risk model, transaction cost
JEL Classification: G11, G14
Suggested Citation: Suggested Citation