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This text explores the current state of the art in quantitative investment management across seven key areas. Chapters by academics and practitioners working in leading investment management organizations bring together major theoretical and practical aspects of the field.
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Rationale Anleger sind im Allgemeinen risikoavers. Eine wichtige Implikation dieser Risikoaversion ist, dass Anleger für bestimmte Risiken, die sie eingehen, eine Kompensation verlangen – Risikoprämien. Ein Beispiel für solche Risikoprämien sind Momentenrisikoprämien. Sie sind definiert...
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performance is driven by estimation bias. Through an empirical application, we demonstrate the impact of the criteria on the …
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estimation errors: An efficient averaging rule for portfolio optimization" proposes a combination of established minimum … and diversifies estimation errors of the strategies included in our rule. Extensive simulations show that the contributions … of estimation errors to the out-of-sample variances are uncorrelated between the considered strategies. We therefore …
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