ポートフォリオの構築
企業間連携における監督の類似性
量子忠実度は、株式における依存構造を捉えるために用いられます。
Optimal allocation to cryptocurrencies in diversified portfolios
Asset allocation methods assign positive weights to cryptos in diversified portfolios
Podcast: Artur Sepp on rates volatility and decentralised finance
Quant says high volatility requires pricing and risk management models to be revisited
Podcast: Jan Rosenzweig on fat tails and LDI portfolios
An optimised portfolio can look very different when extreme moves are given more weight
How Man Numeric found SVB red flags in credit data
Network analysis helps quant shop spot concentration and contagion risks
BNP Paribas quants ‘industrialise’ portfolio construction
Firm says tech, five years in development, takes two hours to do jobs that previously took two days
The private markets dilemma faced by asset owners
Demand for private markets has seen continued growth. Shar Kassam, vice-president at Nasdaq, and head of Nasdaq Asset Owner Solutions, explores why market volatility has led to additional considerations for portfolio construction, cashflow and liquidity…
A factor-based risk model for multifactor investment strategies
This paper presents a novel, practical approach to risk management for multifactor equity investment strategies.
Is factor momentum greater than stock momentum?
Is factor momentum greater than stock momentum? Yes – this paper argues – but only at short lags.
Fat-tailed factors
Independent component analysis is proposed as an alternative to principal component analysis
Performance attribution for multifactorial equity portfolios
This paper revisits the cross-sectional approach to the performance analysis of multifactor investment strategies.
Inflation scenarios: tail risks loom for US equities
Portfolios could lose more than one-third of their value if inflation stays high, suggests crowdsourced scenario exercise
A quant’s view on protecting stock-pickers from themselves
Ex-Citadel, Millennium risk manager says fundamental investors have much still to improve
Uncertain risk parity
This paper treats covariance as uncertain in order to find a risk parity weighting that does not count on perfectly optimized hedges and is robust to changes in regime.
Bonds fall from favour as shock absorbers for equity losses
Ultra-low rates force investors to rethink role of fixed income as diversifier
Time to move on from mean-variance diversification
A new diversification measure appears to produce better results than mean-variance optimisation
Volatility scaling flops in credit alt risk premia
Strategies miss recovery from March plunge, prompting rethink on speed of mean reversion