Engineering investment process making value creation repeatable
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ISTE Press Ltd - Elsevier
2017
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| 245 | 1 | 0 | |a Engineering investment process |b making value creation repeatable |c Florian Lelpo, Chafic Merhy, Guillaume Simon |
| 264 | 1 | |a London |b ISTE Press Ltd - Elsevier |c 2017 | |
| 300 | |a xxxvii, 391 Seiten |b Diagramme | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
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| 700 | 1 | |a Simon, Guillaume |4 aut | |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-029255902 | ||
Datensatz im Suchindex
| _version_ | 1804176714572496896 |
|---|---|
| adam_text | Contents
Foreword .................................................................. 1X
*
Preface.................................................................... X1
Introduction .............................................................. xv
List of Acronyms..........................................................xxxv
Chapter 1. Understanding the Investment Universe............................ 1
I. I. Introduction ..................................................... 1
1.1.1. On the importance of stylized facts......................... 1
1.1.2. The particular role of volatility.............................. 2
1.1.3. Scope of this chapter.......................................... 3
1.2. Computing returns ................................................. ^
1.2.1. Discrete-time modeling......................................... 5
1.2.2. Continuous-time modeling....................................... 6
1.2.3. Return moments................................................. 2
1.2.4. Usual statistical assumptions on return distributions.......... 9
1.2.5. Aggregating returns .......................................... 11
1.3. Moment estimation................................................. 12
1.3.1. Sample counterparts........................................... 12
1.3.2. Expected return and covariance ............................... 13
1.3.3. Skewness andkurtosis.......................................... 12
1.4. The time series properties of returns............................. 20
1.4.1. Expected returns and how they are linked with strategies...... 21
1.4.2. The particular case of volatility ................... 23
1.4.3. Stylized facts for skewness................................... 22
1.4.4. Stylized facts for kurtosis................................... 32
1.5. Modeling financial returns and why it matters to an investment process 32
1.5.1. Modeling returns dynamically....................................... 33
1.5.2. Volatility models.................................................. 35
1.5.3. Conditional distributions ......................................... 39
1.5.4. Numerical model comparison ..................................... . 42
1.5.5. What to do with it............................................... 44
1.6. Living in a world of factors......................................... 45
1.6.1. Why risk factors matter.......................................... 45
1.6.2. Measuring risk factors............................................. 51
Chapter 2. Dealing with Risk Factors ......................................... 61
2.1. Dependence among markets............................................... 63
2.1.1. Copulas............................................................ 63
2.1.2. Measures of dependence............................................. 84
2.2. Linear factor models................................................... 94
2.2.1. Why multifactor models?............................................ 95
2.2.2. Types of linear factor models.................................... 97
2.2.3. Adding empirical restrictions, gaining economic sense............104
2.3. Risk factor dynamics: the state-space modeling framework.............110
2.3.1. Kalman filter......................................................Ill
2.3.2. State-space models with regime switching..................... 124
2.4. The liquidity risk factor .............................................135
2.4.1. Liquidity: a multiform and heterogeneous concept.................136
2.4.2. Sources and characteristics of illiquidity.........................136
2.4.3. Liquidity and asset classes .......................................138
2.4.4. Measuring liquidity................................................140
2.4.5. The liquidity premium: empirical findings and theoretical elements 143
2.4.6. Managing liquidity risk: portfolio construction and the liquidity
augmented VaR (L-VaR) ....................................................146
2.5. Implications of low rates on risk modeling in fixed-income markets . . 151
2.5.1. The risk-return; trade-off in a low-rate environment ............151
2.5.2. Volatility in a Lçw-yield environment..............................155
2.5.3. Volatility of returns and the adequacy of usual sensitivity measures,
duration and DTS, in a low-yield environment............................156
Chapter 3. Active Portfolio Construction........................................159
3.1. Introduction ..........................................................159
3.1.1. A statistical challenge and a need for regularization..............160
3.1.2. Some alternative options...........................................161
3.1.3. From strategies to expected returns................................162
3.1.4. Scope of this chapter..............................................165
3.2. A theoretical toolbox for allocation...................................166
3.2.1. Motivations and notations..........................................166
3.2.2. Modern Portfolio Theory............................................16^
3.3. A focus on mean-variance..........................................172
3.3.1. Mean-variance allocation........................................173
3.3.2. Estimating moments..............................................176
3.3.3. The inversion puzzle............................................180
3.3.4. Operator writing and regularization.............................184
3.4. Spectral insights for allocation..................................185
3.4.1. Should we work with covariance or correlation?................186
3.4.2. PCA and SYD.....................................................187
3.4.3. Eigen decomposition and financial interpretation..............188
3.4.4. Benefits of mean-variance allocation............................200
3.5. Allocating using views..............................................203
3.5.1. Improving covariance estimation ................................203
3.5.2. Adding constraints............................................ 213
3.5.3. Black-Litterman.................................................217
3.6. Allocating without views............................................222
3.6.1. Risk-based allocation...........................................223
3.6.2. Properties, pitfalls and differences............................231
3.7. Dynamic trading.....................................................234
3.7.1. Cost modeling................................................. 235
3.7.2. A framework for optimal trading.................................244
Chapter 4. Backtesting and Statistical Significance of Performance 259
4.1. Introduction ...........................................................259
4.2. Backtesting.............................................................261
4.2.1. Providing accurate backtests........................................261
4.2.2. In/out-of-sample ...................................................263
4.2.3. Biases..............................................................265
4.3. Performance statistics..................................................270
4.3.1. Numerical illustration............................................ 270
4.3.2. Sharpe ratio........................................................271
4.3.3. Skewness and kurtosis...............................................278
4.3.4. Downside risk measures..............................................280
4.4. Statistical significance of performance.................................284
4.4.1. Sharpe ratio annualization..........................................285
4.4.2. Testing significance with the Shaxpe ratio........................ 288
4.4.3. A general test of significance......................................291
4.4.4. Statistically equivalent strategies.................................293
4.4.5. How to differentiate anomalies from risk premia?....................294
Chapter 5. Gauging Economic Influences on Quantitative
Strategies................
5.1. A tale of three strategies
r* -
5.1.1. An
equity equal risk contribution strategy
301
301
5.1.2. A carry strategy................................................302
5.1.3. A commodity trend-following strategy............................303
5.2. Building economic condition indices ................................306
5.3. Relating business conditions to market performances ................311
5.3.1. Economic condition regimes and returns on quantitative strategies . 312
5.3.2. Economic condition indices’ level and returns on quantitative
strategies.............................................................316
5.3.3. Nonlinearities between economic information and financial returns 319
5.4. The impact of economic information on a strategy’s performance .... 323
5.4.1. The integration of surprises in economic information in asset prices 323
5.4.2. An analysis of the impact of economic news on each strategy .... 324
Appendix ....................................................................329
Conclusion...................................................................347
Bibliography.............................................................. . 349
Index
387
|
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| id | DE-604.BV043845432 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:36:34Z |
| institution | BVB |
| isbn | 9781785481628 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-029255902 |
| oclc_num | 992542349 |
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| owner | DE-N2 DE-739 |
| owner_facet | DE-N2 DE-739 |
| physical | xxxvii, 391 Seiten Diagramme |
| publishDate | 2017 |
| publishDateSearch | 2017 |
| publishDateSort | 2017 |
| publisher | ISTE Press Ltd - Elsevier |
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| spelling | Ielpo, Florian (DE-588)1044606711 aut Engineering investment process making value creation repeatable Florian Lelpo, Chafic Merhy, Guillaume Simon London ISTE Press Ltd - Elsevier 2017 xxxvii, 391 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier Profit (DE-588)4130631-4 gnd rswk-swf Investition (DE-588)4027556-5 gnd rswk-swf Investition (DE-588)4027556-5 s Profit (DE-588)4130631-4 s DE-604 Merhy, Chafic 1977- (DE-588)1128926687 aut Simon, Guillaume aut Digitalisierung UB Passau - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029255902&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Ielpo, Florian Merhy, Chafic 1977- Simon, Guillaume Engineering investment process making value creation repeatable Profit (DE-588)4130631-4 gnd Investition (DE-588)4027556-5 gnd |
| subject_GND | (DE-588)4130631-4 (DE-588)4027556-5 |
| title | Engineering investment process making value creation repeatable |
| title_auth | Engineering investment process making value creation repeatable |
| title_exact_search | Engineering investment process making value creation repeatable |
| title_full | Engineering investment process making value creation repeatable Florian Lelpo, Chafic Merhy, Guillaume Simon |
| title_fullStr | Engineering investment process making value creation repeatable Florian Lelpo, Chafic Merhy, Guillaume Simon |
| title_full_unstemmed | Engineering investment process making value creation repeatable Florian Lelpo, Chafic Merhy, Guillaume Simon |
| title_short | Engineering investment process |
| title_sort | engineering investment process making value creation repeatable |
| title_sub | making value creation repeatable |
| topic | Profit (DE-588)4130631-4 gnd Investition (DE-588)4027556-5 gnd |
| topic_facet | Profit Investition |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029255902&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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