Inhoudsopgave:
|
\u003cp\u003e\u003cb\u003eExpert real-world insight on the intricacies of quantitative trading before, during, and after the trade\u003c/b\u003e \u003cp\u003e\u003ci\u003eThe Elements of Quantitative Investing\u003c/i\u003e is a comprehensive guide to quantitative investing, covering everything readers need to know from inception of a strategy, to execution, to post-trade analysis, with insight into all the quantitative methods used throughout the investment process. This book describes all the steps of quantitative modeling, including statistical properties of returns, factor model, portfolio management, and more. The inclusion of each topic is determined by real-world applicability. Divided into three parts, each corresponding to a phase of the investment process, this book focuses on well-known factor models, such as PCA, but with essential grounding in financial context. This book encourages the reader to think deeply about simple things. \u003cp\u003eThe author, Giuseppe Paleologo, has held senior quantitative research and risk management positions at three of the four biggest hedge fund platforms in the world, and at one of the top three proprietary trading firms. Currently, he serves as the Head of Quantitative Research at Balyasny Asset Management with $21 billion in assets under management. He has held teaching positions at Cornell University and New York University and holds a Ph.D. and two M.S. from Stanford University. This book answers questions that every quantitative investor has asked at some point in their career, including: \u003cul\u003e \u003cli\u003eHow do I model multivariate returns?\u003c/li\u003e \u003cli\u003eHow do I test these models, either developed by me or by commercial vendors?\u003c/li\u003e \u003cli\u003eHow do I incorporate asset-specific data in my model?\u003c/li\u003e \u003cli\u003eHow do I convert risk appetite and expected returns into a portfolio?\u003c/li\u003e \u003cli\u003eHow do I account for transaction costs in portfolio management?\u003c/li\u003e \u003c/ul\u003e \u003cp\u003e\u003ci\u003eThe Elements of Quantitative Investing\u003c/i\u003e earns a well-deserved spot on the bookshelves of financial practitioners seeking expert insight from a leading financial executive on quantitative investment topics--knowledge which is usually accessible to few and transmitted by one-on-one apprenticeship. |
nl
en