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Body of Knowledge
Quantitative Portfolio Management

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Quantitative Portfolio Management

Mean-variance principles
Benchmark allocation
Mean-variance pitfalls
Step 9. Construction - Historical
Step 9. Construction - Monte Carlo
Estimation risk measurement
Sample-based allocation
Bayesian allocation
Robust allocation
Diversification management
Black-Litterman
Equilibrium prior
Active views
Posterior
Limit cases and generalizations
Signals
Carry signals
Value signals
Technical signals
Microstructure signals
Fundamental and other signals
Signal processing
Simplistic portfolio construction
Advanced portfolio construction
Relationship with FLAM and APT
Multiple portfolios
Fundamental law of active management
Construction: time series strategies
The market
Expected utility maximization
Option based portfolio insurance
Signal induced strategy
Convexity analysis
Execution
High frequency risk drivers
Market impact modeling
Order scheduling
Order placement
Step 10. Execution - Historical
Step 10. Execution - Monte Carlo
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