Advanced Quantitative Equity Portfolio Management System

5 Pages Posted: 10 Mar 2020

Date Written: February 9, 2020

Abstract

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

Clermont, Dominic, Advanced Quantitative Equity Portfolio Management System (February 9, 2020). Available at SSRN: https://ssrn.com/abstract=3535271 or http://dx.doi.org/10.2139/ssrn.3535271

Dominic Clermont (Contact Author)

Axioma ( email )

17 State St
New York, NY 10004
United States

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