The professional management of an investment portfolio of various securities (shares, bonds and other securities) in order to meet specified investment goals. The process includes the specification of investment objectives and constraints, choice of asset mix, formulation of portfolio strategy, ...

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4answers
1k views

What books should any quantitative portfolio manager or risk manager have as reference? [closed]

I'm interested to know what are the critical reference texts you rely on for portfolio or risk management? I mean those texts that you come back to because they are chock full of insight and know-how. ...
2
votes
2answers
2k views

Calculating Portfolio Skewness & Kurtosis

I need to calculate the skewness and kurtosis of 2 asset portfolio, can someone please help me with the formulas and definition of terms? Thank you. I have been using the matrices method and I am not ...
6
votes
1answer
381 views

How can I simulate portfolio risk (diversification) with a 'Wheel of Fortune' like investment options/returns?

Say I have 6 possible investment options with the following probability of success and the corresponding returns: ...
9
votes
1answer
284 views

penalizing negative skewness by linking $U(\mu)$ and $U(\Sigma)$

Consider $U_1(\mu,\Sigma)$ and $U_2(\mu,\Sigma)$, where $U_1(\mu, \cdot) = U_2(\mu, \cdot)$, $U_1(\cdot, \Sigma) = U_2(\cdot, \Sigma)$ such that \begin{equation*} arg\inf\limits_{\mu \in U_1(\mu, ...
2
votes
1answer
199 views

How to quantify the impact of management cost on return?

Suppose funds X and Y are the same but X has 0.25% higher management cost. Suppose we are analyzing a 2 year interval. The simple models with discrete/continuous interval -assumptions are not really ...
6
votes
3answers
819 views

What position-sizing methods are used in futures trading?

Beyond optimal / partial f and a few other older methods, there's very little information out there for futures trading.
7
votes
2answers
421 views

How to shift amongst asset classes in response to relative value views?

I am designing an asset allocation strategy/fund which invests in four asset classes (via four independent sub-funds): Domestic equity International equity Domestic fixed income Foreign currencies ...
11
votes
3answers
1k views
7
votes
2answers
2k views

robust portfolio optimization re-balancing with transaction costs

The optimal re-balancing strategy takes account of factors including i) objective function, ii) current portfolio weights, iii) expected return vector containing updated views/alpha forecasts, iv) ...
8
votes
3answers
752 views

Alternate money management strategies to Kelly?

Other than Kelly (or fractional derivatives), are there other money management strategies in wide use among quant funds? Certainly Kelly is mathematically optimal, but perhaps there are other ...
4
votes
1answer
561 views

Quant PMs need to know the following… [closed]

To the degree in which it's possible, I'd like to know what the community believes are the objective skills/knowledge required to run a successful Quant book. I'm not interested in strategies, ...